Buying the expansion packs are like upgrades to your account permissions. You have to upgrade to Burning Crusade before you can upgrade to Wrath of Lich King, and you have to have upgraded to Burning Crusade and Wrath of Lich King before you can upgrade to Cataclysm. The content of all of those are included in the WoW client download that you can download from the site, but if you don't have your account upgraded to use them, you won't be able to access their features in Azeroth.