That URL doesn't work. It's not your network that's at fault, Sun doesn't have anything there.
The most common reason why an IT administration would forbid downloading of ZIP files is because sometimes viruses try and sneak in that way. However, a JAR wouldn't help inless they're only looking at the filename itself, since a JAR file is just a ZIP file with a different extension and a manifest file inside. In both cases, the first 2 bytes will be an ASCII "PK", which is sufficient to alert a virus scanner.
It sound like you are operating in a fairly constrained environment. I recommend you make friends with someone in your shop who has the ability to get around those restrictions. You can also also try to convince them to give you the necessary rights to get the job done yourself, but it doesn't hurt to have somebody who's willing to help you.
An IDE is no substitute for an Intelligent Developer.