Extracting the SMS Installer-ISU integrated download (or, just the standard SMS Installer) requires that a SMS site server be present on the network connection. When the extraction intiates is asks for a valid server name and will check to see if its available.
Say, you downloaded SMS Installer from home on a dial-up connection, what do you do then? Wait until you are in the office?
On your workstation, change the data value in the following key:
Data Value: dword:00000001
Usually this is set to 00000004 on a workstation
You can download a compiled exe with the above fix here SMS Installer Reg Key Fix