If you are referring to the ColdFusion setup, then it is not available in zip format. You can download the setup locally on a different machine, zip it (using ant third party software say winrar) and then can take it over to your Server.
How does your Corporate IT department download software then? Much of the software sold today is only available via internet downloads, so they must have some method of doing this.
Toss your strait-jacket to the wind, mate. Download it and store it on a USB stick or any other storage medium. Ask your admin colleague to help you with the installation. You are both within the corporate firewall!