I remember my parents watching this as a kid and I have a vague memory of it, I remember seeing it at HMV so it does exist... should have written the name down.
From what I recall, there is a team of people who go to something like a moon base or a Mars base or something like that (the base might have been in a crater) which has multiple floors with stairs and ladders and so on all around the outside.
This takes place in the future and a red or orange fog/mist/cloud is attacking them. It seems to swallow people and they die. They have special guns (possibly electric beam shooting) that can push the fog back. I think it's an alien life form but it does looklike a mist/cloud.
This would have come out sometime between 1995 and 2004, if I were to narrow it down 1998 and 2002.