There is an interesting feature of Windows 2003. It's not very good at figuring out it's zones!
If you browse to a zipped kit on a server, right click and extract all to your target machine then you might see a dialog when you click setup.exe:
Open File - Security Warning
The publisher could not be verified. Are you sure you want to run this software?
This should not be ignored, as it means that all of the executables in the kit are similary marked (by explorer in the alternate data stream) as being untrustworthy as they came from an untrusted zone.
If you continue to install then you will get similar dialogs as the product runs for every executable, for example discoverFilterSQLServer2000.exe and nfucmd.exe
Solutions are either:
1. Change your internet options (control panel) so that your server with the zip is trusted/intranet.
2. Copy the zip file locally and unzip from there
3. Use winzip!