.NET 3.0 Install Issues

I came across an issue today at a client site that was heavily locked down. Basically I could not get to any other web site except the windows update site using IE. This meant that when I ran dotnetfx3setup.exe (which installs just a stub then tries to download 33MB of data from the web), it fails because it cannot access the Internet. I got around this by using the Windows Update site. Using IE, navigate to Tools Windows Update. When the screen appears, select Custom. The .NET 3.0 software is listed as one of the optional components. Pretty simple fix, but when first faced with this type of issue, it seems like a show stopper.