How do you play Heroes 3 multiplayer. Can you do it here?

There's Hot Seat (more players playing on a single computer), LAN, TCP/IP and third-party LAN emulators like Evolve, Tunngle and Hamachi.

Although Hot Seat is not a good idea outside of a very casual game since you can see opponent´s turns ...

No problem, your opponent can turn around or have a snack while you do your turn :)

Haha sometimes there is time for a full blown meal with a short nap included, the way some people drag their turns...
But yeah, Hot Seat is alright for a friendly quick match with friends, not for anything serious. It can be fun, tho!

I never tried it through Evolve, Tunngle or Hamachi. Is it difficult to set up? We usually play it in LAN so we know the IPs anyway, makes it easy to set up.

Not really, though Hamachi is prone to hiccups. Evolve has the easiest setup, methinks.