I tried a couple of times and got nowhere, so I reinstalled .NetFramework 2.0
Then I noticed a new printer driver called "Microsoft XPS Document Writer" was installed. Not knowing what XPS documents were I found this page: click here and did a few tests.
When I tried to open an XPS document in Internet Explorer I got a message that I needed to install .NetFramework. I accepted the message, and this time it installed OK. Don't ask me why but it worked.
Here is a link to a very simple XPS document: click here
If you attempt to open that in Internet Explorer, my guess is that you will get the same dialogue that I did, then try installing .Net Framework from there. It doesn't tell you which version it is installing, but it turns out to be version 3.5 (the latest version).