Copy to local drive before running installations

I’ve downloaded Windows Identity Foundation from http://www.microsoft.com/download/en/details.aspx?displaylang=en&id=17331,
but when I  was trying to install, it returned
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Windows Update Standalone Installer
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Installer encountered an error: 0x80070003
The system cannot find the path specified.

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I’ve tried a few other similar downloads, and all had the same error,
Finally I’ve realized, that they don’t want to run from shared drive.
After I’ve copied to local drive  Windows6.1-KB974405-x64.msu, I was able to install it.

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