I also had similar problems when I downloaded it via Blizzard. It couldn't find the wow.exe file or something. I had to download it from filefront (or one of the other mirrors, don't recall). Downloading it from the mirror and installing it that way worked for me though. I copied all the "non-directory" files to my other folders and all was well. I couldn't even find which folder the original downloaded patch file from Blizzard went.