I'm noticing on my event viewer logs, that when I try to install the 8.0.1 client on Windows XP, it appears to try to go to MS download site to grab some .net files

Is this normal?

It fails on that attempt, shows an error in the event viewer, and then appears to continue to install. (since our machines have .NET 2.0 on them)

However, if a machine does not have .NET 2.0 the whole install just disappears (no errors whatsoever).