Solution to 0x80007002 error installing Zune 4.8

I just bought a Nokia Lumia 900 only to find that Microsoft took a page from Apple's book and required the installation if iTunes Zune software in order to upgrade the phone. Ugh!

So, I download the installer and, of course, get 0x80007002 error installing the software. It tells me:

The media for installation package couldn't be found. It might be incomplete or corrupt

Uh… What? It's a Self-Extracting EXE!

Here's what I tried:

• Download the "full version" (first one downloaded the installer to temp files) –  FAIL
• Ran a Microsoft "FixIt" app that was supposed to .. you know.. Fix It? –  FAIL
• Turned off the Firewall –  FAIL
• Yelled at the Screen –  FAIL
• "Unblocked" the EXE file and re-ran the installer –  FAIL
• Decided to get insanely stupid and unzipped the file myself and ran the contained installer – Success!? (*facepalm*)

Whiskey. Tango. Foxtrot? 

Apparently their "self-extracting" EXE is not very good at the job. Can't blame them, since self-extracting zip files is a really recent innova--- Wait! That technology has existed for decades!!

Come on guys! Maybe you need a refresher course!
("It's all ball bearings nowadays!")

So.. if you run into this, just unzip the thing your damned self and call it a day!