This can occur erroneously when installing version 2.0, when using a 2003 or 2003SE Device.

Although it isn't clear from the message, .NET 2.0 expects ActiveSync 4.0 or greater to install. You can download it here:

http://www.microsoft.com/downloads/details.aspx?familyid=7269173a-28bf-4cac-a682-58d3233efb4c&displaylang=en

If using Active Sync 4.x is not acceptable for any reason, see this thread for another workaround:
http://www.backcountrynavigator.com/component/option,com_smf/Itemid,58/expv,0/topic,51.0