Oh, but that's why you went to the computer lab of your uni - those machines were on a 10mbit LAN and had a decent connection to the internet!
Although you still wouldn't download a CD, simply because... you wouldn't have been able to take it home with you! Hard drives were in many cases smaller than a single CD. Anything more than a few 10s of MBs would have been considered excessive.
Connecting to office LANs and going on the internet was a magical feeling back then. The speed coming from a 56k dialup was jarring. We'd have network games of Quake (rocket jumps included) and watch Real Player versions of grainy South Park early episodes at er, lunch. Good times.