Hook your phone to the computer via USB and connect to ActiveSync or WMDC. While connected, install the Framework like you would on your desktop and follow the onscreen instructions.
Simpler to just transfer the cab file over and install it that way. BTW, there is a newer version of Dot Net (3.7) that has a much smaller memory footprint. This also should have been posted in its own thread and not tacked onto an unrelated thread.