WarCraft 1-3 and World of WarCraft are set in the same world but are different types of games.
WarCraft 1-3 are Real-time Strategy (RTS) games. These can be played standalone, or online in groups of up to 12.
WarCraft 1 was on diskette and CD and was released for DOS.
WarCraft 2 and its expansion Beyond the Dark Portal were on diskette and CD. They were originally released for DOS, but both were later ported to Windows 95/98 as Warcraft II: Battle.NET Edition.
WarCraft 3 was on CD. It was released for Windows, and is currently purchasable as the WarCraft Battle Chest (not to be confused with the World of WarCraft Battle Chest) or separate digital downloads for the original game and its expansion Frozen Throne through Blizzard's online store.
World of WarCraft is a Massively Multiplayer Online Role Playing Game (MMORPG). It can only be played online on servers with thousands of other players... and has a monthly subscription fee.
WoW and its three expansions (Burning Crusade, Wrath of the Lich King, and Cataclysm) are purchasable in both stores and as a digital download in Blizzard's online store. Consider looking for these in actual stores, as Blizzard charges a lot for the digital versions.
The World of Warcraft Battle Chest contains the classic game and Burning Crusade.
Which you want to start with depends on what type of game you want to play.