TheXSoft.com is the home of of a free software, that 100% free it does not suddenly turn into shareware,bundleware,beggingware.

You can download it from Microsoft here, and please remember that it does not require as much space on your windows mobile / pocket PC as you are downloading ( The file your downloading contains .cab files for all sort of different CPU architectures, but when installing it will only install the one required for your device).
If you are unsure if you have it installed already you can go to add remove programs on your device and see if Microsoft .NET CF 2.0 is installed.