Sometimes you need to add the legacy .NET Framework on Windows Server 2012 and if you follow the regular steps as shown in the figure below.
You will find the following error where the Windows Server 2012 media will be required.
In order to install any Features that require the media, you can use either the GUI or the command line.
Using the GUI you can click on Specify Alternate Source Path and then use the path (if you are using the DVD on the D: drive, you can use D:sourcessxs)
If you prefer PowerShell, not a problem, just add the –Source <path> to your existent cmdlet and you will be able to install such feature.