Found out what's happening:
We have introduced the Background Downloader in order to alleviate the long download times that players go through on patch days. With the Background Downloader it is possible to gradually download parts of the larger World of Warcraft patches over time before the actual patch day, leaving less to download when the patch is finally fully tested and ready for release. It is designed to download at low speeds over a number of days so as not to interfere with your regular internet usage.
The Background Downloader can be configured through the Options button on the World of Warcraft Launcher. By default it is set to download this patch data only when World of Warcraft is closed, but you can configure it to download all of the time, only when World of Warcraft is running or not at all. The patch content that is downloaded through the Background Downloader will not be applied until the patch is released after having been thoroughly tested on our Public Test Realms, so if you wish to only download all of the patch on the day the patch is released you can choose to disable the Background Downloader.
Some players have reported receiving the message "You appear to be behind a Firewall" whilst using the Background Downloader. In the majority of cases, this does not indicate a serious problem. You can check the status of your connection in the Connection Info screen in the Advanced Menu of the background downloader.
In the Connection Info screen you can see a table containing the connections made by the Background Downloader to other players. If there are multiple connections in this table, then the downloader is working as normal. If you have no connections in the table, or only a connection to HTTP Direct Download then it is possible that the downloader is being blocked by a Firewall or other Internet Security program on your computer. Most programs like this have a list of Program access rules which will contain an entry for the Blizzard Background Downloader.
We also have FAQ articles on configuring your Router and Firewall for the Background Downloader here:
eu.blizzard.com/support/article.xml?articleId=19442&locale=en_GB
eu.blizzard.com/support/article.xml?articleId=19445&locale=en_GB
Should you have any further questions or issues, please do not hesitate to contact us again.
Best regards,
Blizzard Entertainment Europe
Kenneth G.
Technical Support
eu.blizzard.com/support