Here's a handy list of the patches you will need to have/download to go from a fresh install of World of Warcraft to the full Burning Crusade version.

1. Install WoW from CD/DVD
   
2. wow-1.12.0-enus-patch.exe
   
3. WoW-1.12.x-to-2.0.1-enUS-patch
   
4. WoW-2.0.0-to-2.0.3-enUS-Win-patch
   
5. Install BC from CD/DVD
   
6. WoW-2.0.0-to-2.0.3-enUS-Win-patch (You have to do this one again )
   
7. WoW-2.0.3.6299-to-2.0.5.6320-enUS-patch.exe
   
8. WoW-2.0.5.6320-to-2.0.6.6337-enUS-patch.exe