Never had a problem. Did you download the game and follow the directions?
Most .wtf folders are read only, you must go to properties and change that and than make the adjustments.
Don't copy and paste all real-lists just one line word for word.
i personally use
set realmlist north.kronos-wow.com
hope this helps, if not i'd try to re-download the game and try again.
K3 is the best private server out there, dont give up hope! it's worth it!