Offline installer for .net 3.5 sp1 not working

I download a big file of .Net 3.5 SP1 from http://download.microsoft.com/download/2/0/e/20e90413-712f-438c-988e-fdaa79a8ac3d/dotnetfx35.exe

Now when I try to install it on Windows Server 2012, I get the following screenshot:

What the?? When will the microsoft learn?

Now this is a loop. When I try to install from Server Manager, I get installation cannot be done. It needs installation disk.

Does that mean I can't install at all without the installation disk in presence?

Use this method:

In an elevated Windows PowerShell command window, run the following command:

Install-WindowsFeature –name NET-Framework-Core –source <drive>:\sources\sxs 

Note In this command, is a placeholder for the drive letter for the DVD drive or for the Windows installation media. For example, you run the following command:

Install-WindowsFeature –name NET-Framework-Core –source D:\sources\sxs

Source