In the old days, software used to be distributed on physical media like diskette, CD, and finally DVD. Nowadays we download and install software as standalone files. Even enterprise software like SQL Server is available for download in this way, usually distributed as an ISO file. Once you’ve downloaded it, you can mount that ISO file as a virtual drive and access it as though it was on physical media.
Or you can do the right and proper thing, and extract the ISO file to a network drive or local storage first, using a tool like 7-Zip.
I don’t think I’ve ever seen the problems Randolph refers to, though I’ll readily admit that Randolph has quite a few more installations done than I.