Your clients don't have to leave your LAN. If you are using VS 7.0, you'll have to use AutoUpdate Architect 1.0 in order to have your clients perform a DAT update. If your using earlier versions of VirusScan you could also have on server download the files to a shared folder and configure a task in the epo to have clients download the DAT update from that shared folder. If you have problems accessing the shared folder from NT clients, try creating a null-session-share on the server. After creating a NSS, login information are not needed for NT clients accessing the share. This should solve the problem, but leaves a backdoor open.
Hope it helps.