Someone who knows your phone better will have to help. I researched a little, and I think your phone runs Windows Mobile Smartphone 2003, and .NET 2.0 Compact Framework might not work on it, I dunno. You could try .NET Compact Framework 1.0 (click here)
Your phone doesn't like you.
What do you want .Net for? The three versions are used by different programs for different things.
What error do you get when you try and install? Is your phone app unlocked? Which version of WM are you running?
He who asks a question looks foolish for 5 minutes. He who doesn't ask a question remains foolish forever.