You might need to download the ISO image containing the Visual Studio Express editions.
You can then either burn it to a disc, or mount it as a "virtual DVD" using something like Daemon Tools (
http://www.daemon-tools.cc/), or Microsoft's Virtual CD-ROM (
http://download.microsoft.com/download/7/b/6/7b6abd84-7841-4978-96f5-bd58df02efa2/winxpvirtualcdcontrolpanel_21.exe).