This is a new machine I purchased in October and my Windows CD is XP SP3, so I didn't have to download and install the service pack like a lot of other people.
I had no issues with downloading and installing .NET 1.1 or 2.0 from Windows Update. Both were offered to me and installed without a hitch.
I just noticed though, that I didn't have .NET 3.0 or 3.5 installed and went to Windows update. Neither one of them were offered.
So I did a search and found the full installers for them. When you install 3.5, you get 3.0 sp1 and 2.0 sp1, too. You won't need to go hunt down those versions.
Now if you want the installer for 3.5,
it's here (direct download for full package)
And those of you looking for 3.5 sp1, you'll find it
here (direct download for full package)
I had no issues installing the full package.
The other download they offer is a small bootstrapper that downloads it for you, and that one seemed to have some issues with getting stuck while downloading the necessary files. It kept stopping and starting over, and redownloading every time it hit 6MB, with the progressbar going backwards instead of forwards. So I quit it and got the full one instead.
For those of you that have to update your Windows Installer to 3.1 first, you'll find that
here.