Whoops, I was to busy typing my answer so I missed your posts.
Seems like downloading will be the bigger problem. Because the file itself is just like any software; self extracting/installing. Just double-click and assign it to a folder. Just putting it in you SH3 folders won't cut it though. Just double click the file you downloaded, it will ask where you want GWX3 to be installed, and IIRC it will ask where the SH3 folder is. Well only you know where you installed it ofcourse.
Anyway, regarding the download, if you generally have a pretty fast internet connection, but Utorrent is downloading slow, it can be fixed, but it's gonna get a little technical...
But it might be worth it, because using torrents can be a really fast way too download something, so this might come in handy in the future.
Easier still is sending Jimbuna a PM on how to download / install GWX with the multiple-file download.
But if you wanna use Utorrent:
Basically, you gotta forward your ports. That means setting a specific port range in Utorrent (and if you're on a local network, then [maybe] 'reserving' this/these port(s) in your router settings.)
In Utorrent:
Options, preferences, connection -> try filling in 42314 in the little screen
[mind you, I'm Dutch, so I'm translating those Utorrent terms, but I think I'm pretty much right]
This should help, but maybe you gotta assign this specific port number in your router. With that I can't really help since I don't know which router or modem you have. This page might help though:
http://portforward.com/