That's correct, if you want to download the entire Java ES 2005Q4 stack, you must download the ISO CD image files. (The exception is on Windows where you can download a compressed archive of the entire stack).
However, if you are interested in specific portions of the Java ES stack, you can download compressed archive files that are in simple zip form that do not require burning CDs. To access these compressed archive images, select any of the Java ES Suites for download from the following page:
<a href="http://www.sun.com/software/solaris/get.jsp" target="_blank">http://www.sun.com/software/solaris/get.jsp</a>
Chris