Here are some useful resources you might want to check out before you get started, not a definitive list, but a good reference.
Supported Operating Systems: Windows 2000 Service Pack 3; Windows 98; Windows 98 Second Edition; Windows ME; Windows Server 2003; Windows XP Service Pack 2
Windows Installer 3.0 (except for Windows 98/ME, which require Windows Installer 2.0 or later). Windows Installer 3.1 or later is recommended.
IE 5.01 or later: You must also be running Microsoft Internet Explorer 5.01 or later for all installations of the .NET Framework.
280 MB (x86), 610 MB (x64)
If you have been directed to do a server installation, you must have the following software installed in addition to the typical installation requirements:
Note: Most users will perform a typical installation and can ignore these requirements. If you are unsure which type of installation to perform, meet only the typical installation requirements.
If you plan to develop .NET Framework version 2.0 applications, the Microsoft .NET Framework version 2.0 Software Development Kit (SDK) includes tools, documentation and samples you need to write, build, test, and deploy .NET Framework applications.
Side-by-Side Execution of the .NET Framework (.NET Framework Deployment)Get in-depth information about side-by-side execution of the .NET Framework intended for individuals who are building or configuring .NET Framework applications or components. (6 printed pages.)http://msdn.microsoft.com/library/en-us/dnnetdep/html/sidexsidenet.asp
Side-by-Side Execution Fundamentals (.NET Framework Developer's Guide)The way that the common language runtime manages side-by-side execution depends on the type of application you are running.http://msdn.microsoft.com/library/en-us/cpguide/html/cpconside-by-sideexecutionfundamentals.asp
Installing Multiple Versions of the .NET Framework You can install and run multiple versions of the .NET Framework on a computer. Currently there are three versions of the .NET Framework: version 1.0, version 1.1, and version 2.0 The three .NET Framework versions can be installed in any order.http://msdn2.microsoft.com/en-us/library/y549e41e.aspx
How to: Use an Application Configuration File to Target a .NET Framework Version http://msdn2.microsoft.com/en-us/library/9w519wzk.aspx