In a forum post, a user reported that he cannot use the web boot strapper to install since the downloads are blocked by their corporate fire wall. You can use the the "big" redistributable package will allow you to install NETFX without downloading...

The release formerly known as Orcas has shipped. This is a great release and builds on the foundation of the .NET Framework 2.0. This release also includes the .NET Framework 2.0 and 3.0 SP1 bits. Aaron Stebner has a great post with the download links...