I've downloaded it twice so far, but what's happening is every time I clicked download through the website then it opens it in UTorrent and I download the game. I open the file where its located and I click on the WoW.Exe "WoW Icon Logo" and it pops an error up saying "Can't play due to missing file or something" and then it deletes the WoW.Exe icon so I can't even play the game and I have no clue how to get it back or to properly download the file to play.
Please don't... Don't tell people to use the desktop for such things. If anything, the desktop is actually a longer path from the root of the partition. That's why most people make a folder called Games on their non-system D / E / F / etc. partition and put their games there.
@OP, after downloading ANYTHING, perform a check on the torrent(re-check / hash check / etc. depending on the client used). After verifying 100% completion, close the torrent client completely and then start using the downloaded content. If you plan on seeding, DO NOT MODIFY said content, but rather make a copy of it somewhere else, so when you start your torrent client again, it can keep seeding and you can keep playing.
A bit of a worst case scenario, your storage drive needs to be tested for errors/bad sectors/crappy read speed. If it comes up defective in some way, I strongly suggest you buy yourself a brand new storage drive(preferably SSD).