Moving from one zone to another.

I was looking at this KB

Support | How to move an agent to a new zone.

Very straightforward so far. My question is this, it says to put certmgr.exe on a network share. When I try to install Windows SDK, because that's where you get it, it will not allow me to install to a network and tells me to install to a local drive.

So do I install locally and then put the certmgr.exe file on the network, or what exactly? Thanks! BTW, both zones will not be simultaneously active.