windows 7 won't be a problem.
Does it say which file you're missing? for the a solution may be to simply ask for the file. I'm not sure how much you trust the people here to send you the right one

I presume you've used your CD keys to download them officially through blizzard? if you've downloaded the frozen throne via "other means" then that's probably your problem.
Another possible problem is that possibly your downloaded frozen throne didn't finish downloading properly, have you tried re-downloading it? (kinda sux cos it takes ages)