Reference these Microsoft Knowledge Base articles for instructions:
Downloading Internet Explorer for a Different Operating System
Download-Only Setup of Internet Explorer on Windows 2000 and Windows XP
Once you have downloaded the entire package, make sure the IESETUP5.EXE or IESETUP6.EXE is in the same directory as those files, and run that EXE file to install. It will recognize that all the files required have already been downloaded and it will not try to download them again.