you cannot store the .netcf on a memory card...
the framework is a system component which has to be installed on the device!
try uninstalling some other applications from the device to free some space if you really need the .netcf 3.5

but for the basics:
- what device do you own?
- which wm version? (installing .netcf 3.5 on a device running a version prior to wm5 does not make sense)
- how much free space do you actually have?