Visual Studio 2005 will install whatever version of the .NET Framework (2.0) it needs if it is not already installed. The requirement to remove the Framework (and/or other items) is only if you have beta (or other pre-release) versions of those components installed.
To confuse the issue even more, .NET Framework 3.0 is really more or less an add-on to .NET 2.0. It essentially adds Windows Presentation Foundation (WPF), Windows Communication Foundation (WCF), and a couple other less important technologies to the 2.0 Framework. VS 2005 does not need .NET 3.0 to install or run, but if you want to create programs that use those technologies, then you'll need .NET 3.0.
One additional thing to be aware of is that Visual Studio 2005 SP1 has been released - if you install it be ready for it to take a long time (like at least 30 minutes - maybe more) and use an enormous amount of disk space (1GB or more). Google for the gory details.
Also, if you're going to run VS 2005 on Vista, I think that there are some issues that might require hotfixes, especially if you're doing ASP.NET work. I'm not too sure about this though, as I am not running Vista. Again, Google is your friend for details on this.