Attempting to install SQL Server 2008 Express recently, I kept receiving "...must install Microsoft .Net Framework 2.0 SP2". Huh? There was no SP2, AFAIK. Turns out there was but it's only wrapped into the .Net 3.5 SP1 redistributable. Leveraging this helpful MSDN forums post, I installed the following and successfully brought SQL Server 2008 Express up on a Win2k3 SP1 box.