.net framework is going to be part of Windows, soon enough. I believe that XP machines with Automatic Updates turned on will already have .net framework 1.1 on them. Installing it is no different from installing the MFC runtime to enable an MFC program to run, or installing the VB runtime to enable a VB program to run. No problem at all.
"I don't like putting anything else on SQL server but SQL server."
What about Windows?