The only way to install the previous versions without setup.exe hanging (and being unkillable) was to install from a Full version of the setup rather than the web version.
Is there a full version to download as previously Has there been any correspondence with Sunbelt to try and fix the problem

.NET Framework 3.0 and Kerio Firewall - Setup hangs.
Bear23
Regarding the webdownload issue, could you please send your dd_*.log files to aaronru@nospammicrosoft.com <-remove nospam These logs are typically found in your temp directory.
That will help us determine the cause of what is happening.
ntsoo
Will the log files produce a solution soon, I don't mind waiting but if its going to take some time I will just use the full download.
Thanks
Peter
SuperSaiyanZero
Is your issue with trying to install the .NET Framework 3.0 web downloader with that specific firewall
Yes you can opt to download the full version. The Download Page (http://www.microsoft.com/downloads/details.aspx FamilyID=19E21845-F5E3-4387-95FF-66788825C1AF&displaylang=en) has 2 links to download the x86 and x64 full redistributable packages:
"Installation
To start the installation process, you will need to run the download file; this will initiate the installation of the .NET Framework 3.0 Release Candidate; If you have troubles with the download manager, you can download the entire package for x86 or for x64 which are both .EXE files."
Does this solve your issue