These are all of the .NET Compact 2.0 and SR packages found in Visual Studio 2005, for use in Windows CE 5.0 and Similar (WM 5.0, Pocket PC 5.0)
Remember to choose the correct packages for your system! If you're emulating it using the Microsoft Device Emulator the needed packages probably are System_SR_ENU_wm.cab or System_SR_ENU.cab and NETCFv2.wm.armv4i.cab or NETCFv2.wce4.armv4i.cab
Copy the files to the Mobile Device (You can copy it though the Storage Card, Copy it from a Website using WIFI or BT, Bluetooth File Share, IR File Share, or send it through ActiveSync)
With your file browser, browse to where these files reside.
Open System_SR_XXX_XX.cab by double tapping it.
Select the Storage Medium to install it to and tap or select on "Install"
After it installs tap on OK and go back to your File Browser.
Open NETCFv2.XX.XXXXXX.cab by double tapping it.
As before, select the storage medium you want to install to and tap or select "Install"
Select or tap "Ok" to restart your device.
If you get "Installation failed" you might want to try another package.