How to Fix Error 1606: Could not access network location

This error often comes while installing some software.
Scenario A: You are getting error 1606 saying "Could not access network location [Some environment variable with % in it]..." then these links may help you solve the issue.
http://support.microsoft.com/default.aspx/kb/330766
and
http://support.microsoft.com/kb/256986/

Scenario B: You are getting error 1606 saying it cannot access internet location. But you can download same file using internet explorer,
1. Try hitting 'Retry' button. You may be in luck.
2. Not solved yet? Most probably you are behind proxy server. To solve this issue, go to Control Panel -> Internet Options -> Connections -> LAN Settings. What do you see? Is "Automatic Detect Setting" checked? If yes then uncheck it and see if your installation works. If it still doesn't work, contact your network administrator and manually provide proxy IP and Port in the LAN Settings of Internet Options.

Still not working? Please find solution and put your solution here :)