How do you join a private server in World of Warcraft

First of all, joining private World Of Warcraft servers is against the Terms Of Service and the End User License Agreement, considering that you have to change some files in the wow directory on your computer to point them towards the server you're thinking about to join.
When you start WOW, you're automatically connected to an official blizzard server in the locale set in the version you have of the game.

So, by trying to join a private server you could possibly get into trouble.

Second, hosting a private wow server is a really big nono, and you might get prosecuted, considering that Wow and it's codes are the property of Blizzard Entertainment. There are releases out there to host such servers and I'm sure that blizz knows of them too :)