Create a folder on your drive called netsetup or something, and
copy the files from all four of the CDs into that one directory (dont
make separate folders; it will screw up part way through). Run the
setup from that directory and let it run. Not sure about the component
update; I did the component update, cancelled the setup after that,
and resumed from the files I copied to my HD.
I am thinking of creating a partition of my HD just for setup files
(operating systems, programming languages, etc) so I wont have to
use my slow CD-ROM as much. :-\ It takes nearly 1:20 to do a full
install of .NET from the CD. Although it takes about 50 minutes to
copy all of the files from my CD-ROM, the setup itself only takes about
15 minutes from the HD.