Newbie : what is W3N ???

I've downloaded campaigns in W3N format but I can't open them like custom games with Warcraft3 and Frozen Throne !!

stick them in a folder in ure WCIII main folder called "campaigns" and u can play them. Its also possible that you may be able to open them in the campaign editor (part of the WE)

Also note that you access them in-game by clicking on Custom Campaign, not Custom Game, and that they only work for TFT.

A custom Campaign isn't a custom map.

Instead of clicking Custom Map on your main single player screen, hit Custom Campaign (like panto suggested). That should clear things up