Now that .NET has finally shipped, you've decided that you should probably start playing around with it. So where do you start? Right here is as good a place as any...
Prerequisites

I'll assume you've already got your computer up and running with your operating system of choice. I'll be using Windows 2000 Server on our test server since Windows .NET Server is currently still in Beta 3.

According to Microsoft's recommendations, here's the software I've choosen to install on my nice fresh install of Windows 2000 Server (which I made sure included IIS) before I run the .NET Framework SDK setup:
* Windows 2000 Service Pack 2
* Internet Explorer 6
* Microsoft Data Access Components 2.7
* All the latest security updates from Microsoft's Security website. (At the very least you should go to Windows Update and install all the relevent security updates listed there... it's pretty painless.)

Not all of the above are absolutely necessary. For example there's no reason you need to install IE6 (IE 5.01 is required) or MDAC 2.7 (2.6 is required), but since I was upgrading everything anyway, I had no reason not to use the latest versions.

One last prerequisite is that you completely uninstall all previous Beta versions (if you had any installed) before installing the release version of .NET.

By today's standards, the software versions listed above are somewhat dated... unless you have a reason to do otherwise... it's best to install the latest service pack and the current versions of IE, MDAC, and all security updates.

Get .NET
So now your system is up to date with all the latest stuff, but you've still really got nothing new installed... time to change that. The next step is to get a copy of .NET and now it's decision time. The Microsoft .NET Framework comes in two flavors:

Microsoft .NET Framework 1.0

* Software Development Kit (131 MB)
* Redistributable (21 MB)

Unless you're severely "bandwidth challenged" we currently recommend getting the SDK for learning .NET and for development machines. For a server or deployment the Redistributable is fine, but it doesn't include all the goodies that you get with the SDK (ie. the documentation, samples, and tools).

Update: Microsoft .NET Framework Version 1.1
Well they've gone and updated the .NET Framework to v1.1 so that's probably the version you should install now. It looks like they've done their best to confuse people because as far as I can tell you now need to get both downloads if you want the SDK. The documentation for the SDK says:

You must install the .NET Framework Redistributable Package version 1.1 prior to installing the .NET Framework SDK.

So, if you want the SDK, it looks like you need to download both of the following:

Microsoft .NET Framework Version 1.1
* Redistributable (24 MB)
* Software Development Kit (109 MB)
Also please note that the screen captures below were taken from an installation of the .NET Framework Version 1.0. As a result, the screens you see may vary slightly.

Run Setup... and Pray!
I'm saying that half kidding, but to be honest there aren't all that many options in the setup routine so if something does go wrong I'm not sure what you should do. Luckily I haven't heard of many people running into problems. If you do run into a problem that you think others might be having too, let me know about it and I'll see what I can find out. Anyway here's a basic rundown of the install.

* Welcome Screen

* Accept the License - No Picture... you've seen it before.
* What to Install (SDK/Samples/Docs)

* Where to Install - Again No Picture.
* Installing... Please Wait... (aka. Go take a nap and I'll beep if anything goes wrong.)

* Finished

That's It
Assuming you made it through the install without a hitch, you're now ready to start programming with .NET. Did you notice how it did it all without a reboot? Amazing isn't it. It took me over half a dozen restarts to get all the prerequisites installed, but somehow the .NET Framework (ie. an entirely "new computing platform" running on an OS that's two years old) is able to install on the fly. I just don't get computers sometimes!

I think that's enough for today. Next time we'll get you started by writing your first ASP.NET page.