Make Comp Heros "Think"

I made a map DotA style (if you dont know it is like the one in blood elf campaign whre you gotta rescue caged ilidian), where 2 computer players send forces to attack eachother, and human players are heros that aid them. I have tried to make a computer controlled hero but he just runs to his start location and stays there, is there a way I can make him go attack, buy/sell items at shops and return to heal to his base when damaged?
I have played maps where this is posible but they are protected and couldnt see how they made it.

The reason you don't see this very often is that it is very difficult for someone more than competent in making gui triggers to program advanced ai into computers. Your best bet is to learn jass. You might talk to the makers of such maps, eota for example, and see if they'd be willing to lend you some code to get a feel for it.

:( you shure I cant do it with conventional AI editor?

Anyways, you know how can I add custom heros to the AI editor?

Import your custom data into the AI editor.

The AI editor is for making melee AI. It does not really help with anything else. For a DotA AI even AI scripts are not really a good idea. You are better off using triggers so JASS is not a must although it helps.
But be warned. Doing that properly is a lot of work and the result you get is very specific as you probably will have to write AI for each skill and each hero.

Could you please tell me how to import it? :(

I suggest you download the campaign map itself and look how Blizzard made it. =) Search for the campaign maps in google. :-P