I got the same issue, so I ran a packet capture and found the URL that the installer is looking for:
http://download.microsoft.com/download/5/6/7/567758a3-759e-473e-bf8f-52154438565a/dotnetfx.exe
This URL must have been moved. The file appears to be this one:
https://www.virustotal.com/gui/file/46693d9b74d12454d117cc61ff2e9481cabb100b4d74eb5367d3cf88b89a0e71/details
I think this file is not used. The workaround is to create a local HTTP server that will serve the file (or any file with the filename dotnetfx.exe). Then set an entry for "download.microsoft.com" in your /etc/hosts.
You can do this easily with a few shell commands:
# append the following line to your /etc/hosts file, but use your own LAN IP address
# download.microsoft.com 192.168.0.9
# create the expected directory path
mkdir -p download/5/6/7/567758a3-759e-473e-bf8f-52154438565a/
# create an empty file that the installer is looking for
touch download/5/6/7/567758a3-759e-473e-bf8f-52154438565a/dotnetfx.exe
# run an HTTP server (must be root to bind to port 80)
sudo python3 -m http.server 80
With this workaround I was able to install and run Tiberian Sun.