You can connect to Battle.net and update your game to the latest version automatically. With your Internet connection active in the background, start Warcraft III: The Frozen Throne and select the Battle.net option at the Main Menu. If an update is available, it will be installed and the game will restart.
If you are not able to connect to Battle.net, download the latest patch from http://www.blizzard.com/patches or http://ftp.blizzard.com/pub/war3x. Save the file to your desktop and double-click it to update the game.
The Warcraft III\save and Warcraft III\maps folders on your hard drive will not be removed by default. These folders can be backed up at any time for safe keeping.
If you do not want to save your maps or single-player profiles, delete the Warcraft III\maps and Warcraft III\save folders on your hard drive by opening "My Computer", opening the drive letter to which Warcraft III: The Frozen Throne was installed and deleting the Warcraft III folder found within.