You need to install five files in this order:
WH Mod 2.0
2.02 Patch
WH 2.11
WH 2.20
and
forgotten Resources.zip
I'm not sure, but we talked with mrtn, and thought of compiling the patches 2.02, 2.11, 2.20 and resources in the upcoming patch 2.5... but we are definitely going to reduce the number of files you people have to download.
About installing them, you'll have to make sure, that all the mod files are installed to the civilizationIII/Conquests/Scenarios/WH2 -folder (except for the leaderhead animations, which should automatically go to the civilizationIII/Conquests/Net Art -folder).