Actually it is possible, just not directly.
Use locals. You can make another archive or just a folder with files.
When warcraft looks for files it first checks it's main archives, then anything in it's own folder.
So if you make a folder named Textures in WC3 folder, then a texture in it would have this path:
Textures\Mytexture.blp
You can use this method for most types of files, but not all. SLKs and ubersplats(along with some other things) won't work.
Another thing to note about locals is that everyone must have them. If someone doesn't, then he will either have something simply missing or he might even get disconnected.
Also, there's one more thing. In the registry there is a value "ALLOW LOCAL FILES". That must also be set to 1.(those with newgen don't need to get into the registry for that)