Windows XP? ugh.
It looks like you cannot download missing content from Blizzard servers. I have seen this issues sometimes with corrupted data (which can be fixed by deleting Data folder) and restarting Wow.exe. If that does not help, it might be a problem with your router or ISP since you state you disabled all your computer firewalls.
I figured out the reason of this message like 1 hour after posting this. I re-examinated the magnet file and it seems like the download wasnt complete. (even if the uTorrent said it was). So after this revision it started to download again the missing parts of some files. Completed this task it works.