OneCare will always install from the Internet based servers. Even if it were contained on the CD (which it isn't), it would be out of date before the CD ever 'shipped', so the CD only contains some fairly large support files like .NET 2.0 that OneCare requires and which change much less often.
I understand your issue entirely, but realize that if you can't get OneCare installed using your dial-up account, you'll never be able to keep it updated since it regularly downloads 2 to 4 MB updates and every few months has much larger major updates similar to a complete re-install.
56Kbps modems are supported, but broadband is recommended and if your dial-up doesn't normally connect at close to 50K, I'll guarantee you'll have problems keeping updated. It's also really necessary that your PC be online for at least several hours each week, otherwise the updates will get behind and you'll have to leave the PC connected for a few hours to catch up.
I had these issues with a lightly used dial-up PC at my nephew's, which I finally got connected to 768Kbps DSL a few weeks ago. Since the PC was used only a few hours a week I had to leave it online every couple weeks for at least 2 or 3 hours, sometimes longer when new Windows Updates were also released. Now I have installed Vista, Office 2007, OneCare and several other major applications and the updates are always current, even with just 768K and occasional usage. Funny thing is the DSL costs less than the high-end dial-up account I was using, though they are located just at the edge of town, right at the limits of DSL.
I feel your pain if you can't get reasonable cost broadband where you're located, but it's becoming increasingly difficult to keep even Windows alone updated over dial-up.
OneCareBear