I guess I'll answer, just to be different. From a government perspective it's not illegal. I have no idea if it would break any MS licensing agreements, but I think not.
But, seeing as how it's near impossible, I'd say it doesn't matter. At best/worst You may be able to surf to and download the setup program (like 200K or something) using Mozilla. But then after that you run the setup program and it completes the download and then installs IE.
I'm 99.9% sure you can't get to the windowsupdate.microsoft.com site and actually download anything using a non-ie based broswer. But you can sure try it and it's not illegal to do that unless, perhaps, you were so determined you felt it necessary to hack into MS Site and manually gather your files.