World of Warcraft first time installation

Solution 1:

You can just install directly from the Cataclysm DVD. Ignore all previous discs. Once Cataclysm is installed, you'll need to patch up to the current 4.2 patch, which may require a few subsequent downloads - Blizzard only releases combo updaters periodically, and often skips versions before doing so. Sadly, this will require quite a bit of time and/or bandwidth. Major content patches can be several gigabytes in size.

Solution 2:

Running the install from the official site or the cata disk will use the online installer, it will download needed files to play first, then go on to some not as important files, what this dose is that you can start playing before the full game is actully on your computer, some times you will have a bit longer load times if its missing some information for the area your in, but better to be playing than installing i would say :)

Edit some random link i found explaining the installer