Jason,
To expand on Jaap's comment, you can just copy the entire depot to the USB drive. I've done it from a Windows server depot and it should also work from a Unix server. Even though the text line endings are different on the two environments, SAS is able to work transparently. Our campus OIT people have started distribution the Windows version of SAS 9.3 on USB flash drives; it's easier for them to copy and store than the slew of DVDs, and our Windows based depot can be a bit slow for students and faculty working remotely.
You may want to download it to both a USB-2 drive and a USB-3 drive. The installation speed from a USB-2 drive is markedly slower than a USB-3 one.
Doc Muhlbaier
Duke