There are two ways - the right way and the quick way...

The Right Way
If you have a computer that does not have Microsoft's .NET framework installed, you SHOULD update your operating system before installing the .NET Framework. While this is a simple process, it can be tedious. It improves security and reliability of your computer system. It is a very good ‘best practice’ and it is highly recommended. Keeping your operating system current after this is a snap.

Using Internet Explorer, click on Tools -> Windows Update or Click Here go to Microsoft's Windows Update Your computer will be scanned and updates applied automatically. Just be sure that you keep repeating the process until no further updates need to be installed.

After your operating system is updated, you can install the .NET framework Redistributable. The update process described above is SUPPOSED to install the .NET Framework for you, but sometimes does not…..If not,Click Here to go to Microsoft's Download page for the .NET Framework 1.1

The Quick Way
You CAN just install the .NET Framework without first updating your operating system
Click Here to go to Microsoft's Download page for the .NET Framework 1.1