Microsoft .NET Framework is one of those software components that don't work as applications by themselves, but rather as a framework to run other apps.
Microsoft .NET Framework contains everything you need to execute programs based on the .NET development environment. It includes common library files, language common routines and ASP.NET files.
Thanks to Microsoft .NET Framework you will no longer get error messages when trying to run .NET applications, so you should definitely install it on your system. What's more, installation is really easy: simply run the file and follow the wizard's steps. Just don't expect to have an interface or something similar to run .NET Frameworks: there's simply none.
Microsoft .NET Framework is a necessary component to run many applications nowadays, so you should absolutely install it on your system.