Firstly, you're installing a program either designed for CE4 or for Windows Mobile 2003+ This programs are not designed to run on the H/PC and if possible should be avoided.
Contrary to that, some of these applications can run on the H/PC irrespective.
The .net CF can be downloaded here:
http://www.microsoft.com/downloads/info.aspx?na=22&p=1&SrcDisplayLang=en&SrcCategoryId=&SrcFamilyId=&u=%2fdownloads%2fdetails.aspx%3fFamilyID%3da5a02311-194b-4c00-b445-f92bec03032f%26DisplayLang%3den
Again it's not designed to run on the H/PC and will tell you that it isn't compatible. Force it to install and try your luck, is effectively the best advice that I can offer.