You need to download the offline installer.
First go to the java download page
here
Select the download button next to "JDK 6 Update 2" (I assume this is the verison you want)
Then accept the license agreement and download this version:
"Windows Offline Installation (build 06), Multi-language"
It is the very first option. It is also ~65megs. Once it is downloaded you should be able to install it.