You are missing at least two things:
- The intended module name is just "ossec". The "puppet-" prefix should be removed from the module directory when you install it. That's more or less conventional with puppet modules, except that the prefix normally indicates the source of the module (i.e. something like "nzin-"), not the target ("puppet-").
- Although the module's documentation says nothing about it, the module depends on storeconfigs to be configured in Puppet.
Thus, to install the module, you unpack it and move its top-level directory into your module path, renaming it to plain "ossec" in the process. That should resolve the "Could not find class" errors.
For it to be usable to you, however, you will also need to configure storeconfigs. That will enable nodes to provide information about themselves to other nodes, which the module apparently relies on them to do.
Furthermore, given the module's use of storeconfigs, I think applying any of its classes via "puppet apply" is questionable. I haven't studied the module enough to reliably evaluate it, but it appears to be designed with Puppet master/agent mode in mind.
John