Install it to a simple directory like C:\Games\Warcraft III . Avoid C:\Program Files as Windows permissions there can sometimes cause "Unable to write to disk" errors for older games.
Note: If a "Windows protected your PC" popup appears, click and then Run Anyway . warcraft-iii-tft-apun-kagames-exe
This happens if the "crack" or "no-CD" patch wasn't applied. Check the installation folder for a folder named "Crack" or "Razor1911" . Copy those files and paste them into the main game directory, replacing the existing ones. Install it to a simple directory like C:\Games\Warcraft III
If you downloaded a .zip or .rar archive, use a tool like 7-Zip or WinRAR to extract the folder to your desktop. warcraft-iii-tft-apun-kagames-exe