No you don’t need to, as .NET 2.0 is backwards compatible with previous versions...
EDIT: I am trying to make one, but I find that this release uses a Bootstrap “Install.exe” To control the setup process and that the MSI doesn’t accept /A to make an administrative install point...
Tried importing the MSI (only) into WinInstall LE 2003 to expand it, but get an error...
Perhaps someone experienced with this (like the RyanVM himself

) can help with this (at least for me to learn how to make it)..
— I’m sure it won’t be long before RyanVM makes a nice silent installer for it...
-EDIT: The RTM .NET Framework broke my Visual C# 2005 Beta 2 Express Edition (I uninstalled the .NET 1.1 SP1 and .NET 2.0 Beta2 before installing the RTM), when I try to open any project or file I get the DW20.exe AppReporting program telling me that VC# has crashed...