I was having a similar problem and have found a solution. For the benefit of anyone reading this thread after me...
First, don't download the zune software from zune.net ( zunesetuppkg-x86.exe <-- do not get this ), instead, you want to get it from the microsoft download center. Here is the link :
http://www.microsoft.com/downloads/details.aspx?FamilyID=6136349f-2b32-4946-83b5-a09775531ef4&DisplayLang=enThis gives you the file "ZunePackage30.exe". This is what you want to open with WinRar. Inside it has more files than does the exe file from zune.net. You will need these extra files.
Now, do the following, taken from a post by Ricardo Dawkins, so a big thanks to him. His info was for zune software 2.1. I have followed it for version 3.0.
After you open ZunePackage30.exe with WinRar...
3. Go to x86\packages folder
4. Run dotnetfx.exe
5. Run wmfdist11-windowsxp-x86-enu.exe
6. Run windowsxp-kb915865-v11-x86-enu.exe
7. Run zune-x86.msi
And now the zune software should install without an internet connection, or at least it did for me. Good luck.