Microsoft has moved the files necessary for this active setup to work properly, so it no longer works "as is". However, a slight modification will allow it to work as intended. The active setup downloads only the components you choose to install, which reduces download time greatly. If you want the full installation package, you can download the whole 84.1 MB file here.
If you'd prefer to use the active setup, download it from here, then run it. When the interface opens, a folder \Windows\Temp\Ixp000.tmp will be created in which you'll find a file iesetup.inf. This file must be edited before proceeding any further. To make things easier, i uploaded an edited version of the file iesetup.inf that can be downloaded directly in the \Windows\Temp\Ixp000.tmp folder, to overwrite the one that exists (must be done while the IE interface is displaying the license agreement).
You can now return to IE's installation interface and proceed, or you can do another minor modification if you'd like to install the active desktop update along with IE (proceed from step #3).
----------------------------- Edited in iesetup.inf, the line that says:
URL2 ="http://www.microsoft.com/windows/ie/ie55sp2/download/rtw/x86/ie5sites.dat"
Was replaced by:
URL2 ="http://windowsupdate.microsoft.com/iesites/ie55sp2/ie5sites.dat"
The ie5sites.dat file contains the information about the download location of the files needed by the active setup to install IE and is updated at the new url.
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Courtesy of: Lightspeed's
Windows 95 Page