There have been many threads about this on the forums so you should try the search button before posting a topic. However its just ridicculus of me to say this and leave it at that so I am going to tell you why anyway. Its Christmads after all
The Warcraft 3 installer is PPC only which until lion was no problem, as you had rosetta to emulate the ppc part. In Lion however Apple removed rosetta and that makes it impossible for the installer to work.
The game though works perfectly in lion, so its only the installer that won't work. If you can you should make a small partition with snow leopard or earlier so that you can install the game and then drag it into lion and play from lion.
So once it is installed you can play the actual game from lion.