So I bought The Shadow of Death and installed WoG.
The same thing happened again where all files are corrupted. A window with a slider appears, and after two minutes, a message says that the update was successful.
Then I go back into The Shadow of Death and when making a selection, the wog options! button appears, but it can't be clicked..

I had the same thing happen while I had two Heroes folders—SoD with an English name and "Полное собрание" with a Russian one. It says "Files corrupted" and shows the second path (Russian) instead of the first. The installation takes a minute, in SoD the button... As soon as I deleted "Полное собрание", WoG installed without any problems.
By the way, I previously had WoG 3.5—just an exe without *.wog files; it was installed on that same "Полное собрание" and it didn't care what the name was or how many spaces there were.

I want to add that I did the same thing, but one glitch appeared: everything is in Russian, but the WoG settings are in English. Why is that?

Same for me. But I didn't really pay attention to it; I thought maybe the settings just weren't translated...