Here's the .NET Framework 2.0 download. Generally, .NET is something that a lot of MicroSoft applications use, and is useful to have on your computer. Have you kept your Windows installation updated?
An error during a software installation usually isn't a big deal. Most of the time, it's not going to affect anything, because files created during an installation are created as temporary versions until the install completes, and if the installation aborts, it just deletes those temp files.
It's late for me, but maybe check out that .NET 2.0, and let me know how it goes. I'll check this forum in the morning and if you're still getting an error, I'll try to investigate it, but it might be hard to diagnose without being at your machine.