This is what happens when the marketing guys write the system requirements doc:
The Microsoft® .NET Framework Software Development Kit (SDK) version 2.0 includes everything developers need to write, build, test, and deploy .NET Framework applications—documentation, samples, and command-line tools and compilers.
Everything I need, huh? Read on…
You must install the .NET Framework Redistributable Package version 2.0 prior to installing the .NET Framework SDK.
Sigh. Reminds me of installing the DirectX 9 SDK.