To tell if you have Microsoft's .NET Framework installed you need to do the following.

1. Go to Start->Control Panel

2. Double click on Add/Remove Programs

3. Scroll down on the list of installed programs and look for an entry saying either "Microsoft .NET Framework 1.1" or "Microsoft .NET Framework 2.0"

It should look like the following:

If you don't see an entry for Microsoft .NET Framework or you don't have the correct version you need you'll have to download it from Microsoft's web site.
You can get it free from Microsoft's Windows Update