[greenskeeper805]

The .NET 3.5 is a program that you run on your pc. After running it, you have to connect your phone to your pc. Then it will install it via activesync. Did you install activesync to your pc? If you have a vista or win7 pc, the program is called device center, all came on the cd with the phone. The cab files that you download have to be transfered to the phone, in settings\connections\USB connection mode, select my storage. This will turn your phone into a mass storage device, like a memory stick. Just drag and drop the .cab files to my storage, usually indicated by F:\ drive. Now remember, when you're putting .NET3.5 on, the USB connection mode must be set to active sync.

EDIT: You cannot install .exe files to the phone like you do a pc. If you downloaded an .exe file, run it on your pc and it will install via activesync/device center.