Q: Which versions of .NET framework should I install? I'm installing Windows Server 2003 and I need to ensure the following services are installed and enabled:
-.NET framework
-ASP.NET & latest device updates
Which version of .NET do they mean?  Do I need to download them all? (v 1.1, 2.0, 3.0, 3.5, 4) 
Thanks! 

A: Windows Server 2003 already ships with Framework 1.1 so you don't really need to worry about installing that other than applying patches via Windows Update.
Framework 1.1 is fairly old and from experience pretty much all 1.1 code will run on 2.0 unmodified.
Framework 2.0 is a major release, it's still fairly popular so I'd go ahead and install that. This version also ships with ASP.NET 2.0.
Frameworks 3.0 and 3.5 aren't actually full blown frameworks in their own right. They're actually add-ons to 2.0. Framework 3.0 adds the C# 3.0 compiler, WCF, WPF and some additional .NET Framework components. Regardless of the C# version, the 3.0 compiler still compiles to CLR 2.0 IL. Framework 3.5 introduces features such as LINQ but as with Framework 3.0 is still dependant on the 2.0 bits. ASP.NET is still version 2.0
.NET Framework 4.0 is a major release and can be installed on its own without any dependencies on 2.0 (and the 3.0+3.5 updates). Framework 4.0 also has it's own new ASP.NET version, ASP.NET 4.0.
Most Framework 2.0 code will run on 4.0 unmodified, however there are one or two breaking changes for certain types of code:

.NET Framework 4 Migration Issues
Breaking changes in .NET 4.0
Breaking changes in .NET 4.0

I'd take the belt and braces approach and install both Framework 2.0 (and its 3.0+3.5 bolt ons - which actually ship as a single unified installer) and Framework 4.0 just to cover any eventualities.

A: Always get the latest available for your OS, unless you have an application that requires you to not upgrade past a certain version.
/edit - This is the same thing you should do for Java runtimes, except there are security concerns with some of the older ones that require investigation as to whether they are safe to run. MS just sends patches out for components that have flaws, those don't often break .NET apps, in my experience.

A: I'm finding that some applications require 3.5, but I'm also installing 4 as part of the update process. I'd assume 3.5 and 4 are reasonable for now.
