Hi, I just purcjased HOMM3 but I don't understand how do download properly. When I click the Patch (in "my downloaded files") I get an error message saying "Game installation not found, please reinstall", so how do I proceed?

UM

You don't need the universal update, in case you have downloaded that, it is already included in the installer.

Go to "My Account", "May Games", click on the Heroes III picture. Underneath it the downloadable files should be listed. On the left side are the game files, on the right side is your bonus content.
Download the "Windows installer, English" (942 MB). After downloading just double-click it to start the installation (may take some time to unpack and start).