Windows 7 includes .NET as a feature. They do not appear in the Program listing. .Net 4 is the only one that is not included since it came out later.
Go to Control Panel/Program and Features and on the left click on "Turn Windows Features on of off"
Everything from 2.0 through 3.5.1 is included.
Windows XP is different as they are installed like any other program. I do not know if you can get by with only 3.5.1. That would be for an XP person to clarify.