Don't you just love their logic.

The Microsoft® .NET Framework Software Development Kit (SDK) version 1.1 includes everything developers need to write, build, test, and deploy .NET Framework applications—documentation, samples, and command-line tools and compilers.

Except

You must install the .NET Framework Redistributable Package version 1.1 prior to installing the .NET Framework SDK.

Consecutive sentences! And then you follow the link to look at the prerequisite to "everything you need" and...

You must also be running Microsoft Internet Explorer 5.01 or later for all installations of the .NET Framework.

Gah!