Taken from MSDN:
"Installers created using Visual Studio .NET deployment tools include a default launch condition (MsiNetAssemblySupport) that checks for the .NET Framework on the target computer. If it is not found, installation is halted and a dialog box displays the following default message to the user: "This setup requires the .NET Framework. Please install the .NET Framework and run this setup again." You should replace this message with a message that is customized for your application's users.
For example, if your application is being distributed by CD-ROM, your message might read: "This setup requires the .NET Framework. Please install the .NET Framework by running the file Dotnetfx.exe, which can be found in the NetInstall directory on this CD, and then run this setup again."