You could go to your local store that sells software and buy it but chances are it will be behind version wise. You can also order the disc version from just about any place on-line. If you always want the latest version, there isn't any other way than to download it. At least, not that I'm aware of.
Have a friend with a high speed DSL or Cable connection download the file for you and burn it to disk, you can then install nero on your PC from that disk.