Usually done on your display's HUD or in the GPU settings.
Gamma (which you should never touch as that affects colour accuracy) can still be configured in game but due to using the colour correction LUTs requires WC3 be run in full screen. When run in windowed mode it uses what ever calibration LUT you have set for desktop use and ignored the gamma generated ones.
Again Gamma should never be changed. Its existence was from a time before displays have a well defined response curve. Now everything uses an sRGB or derivative there of response.
If your display is HDR capable and too bright, you need to switch it into sRGB mode when playing non HDR content. This caps the dynamic range and colour space to accurately reflect the sRGB space used by non HDR content like Warcraft III.
Classic WC3 will always look funny. Likely due to a lack of understanding of realtime 3D graphics by the developers at the time it was made, they seem to have not implemented a correct colour managed pipeline. No amount of gamma correction can fix this.