I do not know if Microsoft is aware of this, but Dot Net Framework 1.1 simply will not install on Windows Vista without SP1. And there is no package with SP1 integrated out there. You will have to installl the vanilla 1.1 then perform a upgrade to 1.1.
There is a page that will show you how to extract the files and patch it before installation here:
Well, you do not need to do that anymore. I had decided to slipstream the whole package so that it can be installed directly on Windows Vista.
Simply download the package below, extract all of it. Then just run netfx.msi.