Here's what java.com has to say about this:
- Windows InstallationSaves download time if installing only some of the features. This install first downloads and runs a small program that prompts the user for options to download and install. The user must be connected to the Internet in order to complete this installation. Includes support for additional languages, fonts and media. This choice downloads and installs Microsoft Windows Installer 2.0 if not already installed. If you are behind an authenticated proxy server, you must use the Windows Offline Installer instead. Before making this choice, turn off any download managers, other than the Sun Download Manager, if you are using it.