Microsoft .NET Framework?

Okk So I havent updated my Net framework for a while and i am trying to download an application that requires 3.5 NET Framework But When i try to download it, it downloads but it has an error during the installation. I've tried many times and it still doesnt work. SO if i want NEt Framework 3.5 do i have to update 2.0 and 3.0 to get to 3.5?