To install and play a wotlk server all you need is WoW + TBC + WotLK installed
Find the server you wanna play and patch to their version
Go to your WoW folder and find your realmlist in /data/enUS (file named realmlist.wtf)
Replace the blizzard realm login to the IP of the realm you wanna play (you can get that from the server's page)
Here's a link to good private server with a detailed guide:
http://www.wowpk.org/wowpk-information/4-setting-up-wowpk-private-wotlk-server.html
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You need to have the installation of the program of the private server. Check out the website of the private maple story server what is the requirement and installation needed to play
No, you do not have to pay to go on World of Warcraft private servers. But if you want to Donate money to your private server developers you can and in most private servers donating gives you the best gear you can get. I recomend going on WoWlegacy private server or WoWBeez private server, they are both very good private servers for PvE and PvP.
I don't think it is ILLEGAL to play Private Servers. However, to own a Private Server is illegal.
Private servers are illegal, i would suggest staying away from them.
You probally need to download the client of the server. Hope i helped ;) PS.Its me Geremy i just dint bother to login ;]