Just include a download link. You don't need to ship the thing yourself... FYI, every Windows since Windows 2000 has .NET. Everyone who uses MSN has .NET 2.0 or higher. Everyone who has a ATi gfx card has .NET 2.0 or higher. Everyone who has a game installed that uses Windows Live has .NET 3.0 or higher. Etc etc. Maybe not many people do where you live but that is not the global picture.

I never had any issues with what you're concerned about so you have nothing to worry about.