RDP allows you to redirect drives, sounds, printers and even serial ports from the client to the server, use that to transfer installation files to the server.
You can find this as an option in the "Remote Desktop Connection" tool (mstsc):
IE has no use in this case and you certainly don't want to install flash or enable js/pdf/java on your server just to download a few files.
Some tools you could use to get rid of the official RDP client:
I use Remmina on a day to day basis to administer my windows servers from my linux desktop.
There is a fork of the mRemote source code, that project is open source free software (GPL) and is named mRemoteNG.
It supports the following protocols: RDP, VNC, ICA (Citrix), SSH, Telnet, HTTP/HTTPS, rlogin and Raw socket connections