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I bought a three disk pack that said it had dow and winter assault.The problem is..I have no clue how to add winter assault.Do I just put in disk 2/3 and WA will work?Do I need to click something in one of the menus?Please help me.

It's an addon pack, so you need DoW installed first. That'll be 2 discs, then Winter Assault should be a very obviously different one. If you try and run it first, all it'll do is fail to install.

As with any install CD (assuming you're on Windows), if the install doesn't pop up by itself just browse to the drive and find it...it's usually called Setup, Launcher or something similar.

I thought Winter Assault was a full game, with some races from the first game missed out.
But, if you install WA over DoW, it'll ask for a code both times, and WA will merge the DoW code in when you start.

Nope - Winter Assault was a true expansion. It needs DoW to run, so as a result you get all 4 of DoW's original races within it.
Dark Crusade and Soulstorm came later, and these were standalone - but if you wanted access to the races from the other and from Winter Assault, you had to put their codes in again.