First step is to buy Warcraft 3 Reign of Chaos and Warcraft 3 The Frozen Throne, you can buy them as a ‘battlechest’ on kinguin for cheap: http://www.kinguin.net/category/21335/warcraft-3-battlechest-eu-battle-net-cd-key/?r=10173 or buy it from the battle.net site: http://battle.net
After you’ve bought and download both installers, first install the ROC game.
After that, you have to install a patch https://eu.battle.net/support/en/article/classic-game-patches
Download both ‘full’ patches and install the ROC one first.
After this you will install the FTF game and the TFT Patch.
Now you should be able to play the game.
PS. If you have any battle.net connection issues; try to connect to a different battle.net server using the hourglass.