Ok, I'm new to world of warcraft and I want to play on a private server. I know nothing about how to set any of it up. Can anyone guide me in the right direction. Do I have to BUY the game first? Or can I download it somewhere if you catch my drift.(PM me if you know how, hehehe).

I don't play WOW but it's a subscription game, you have to pay monthly, so downloading it would be pretty pointless. buying it has less hassle and gives you a free subscription. i could be wrong though, last time i heard it was this way.

There are private servers, wich are usualy free. I was just wondering how to go about playing on one.

You don't--they don't exist. Blizzard are really anal retentive about their games, and only have servers availiable that they make. (Note: the subcription fee isn't paid by server, it's payed by the account. So there would be no "free" servers, anyway.) Now, if you mean a bootleg server, that's different. There are ways to get your own bootleg server. But if you do, be ready for three things: Boredom, loneliness and nothing working properly. Those three things happen when you're playing in a world fit for a couple thousand people by yourself. So, if you want a lousy game expirience, by all means, find a bootleg server.