Can somebody please help me by answering the following questions:

1. How do I get source file names for loaded module?
2. How do I change source file names for loaded module?
3. Which plugin function is called after loading a module?

Thanx.

3. Make sure you checked "Break on new module (DLL)" event in OllyDbg options (maybe it can call the callback even if you don't check the above option, i didn't check).

Plugin callback you can use is:
void ODBG_Pluginmainloop(DEBUG_EVENT *debugevent);

Hint: look for LOAD_DLL_DEBUG_EVENT code and LOAD_DLL_DEBUG_INFO structure
more info at http://msdn2.microsoft.com/en-us/library/ms679308.aspx