The .Net Framework 3.5 SP1 redistributable (the one that's around 230MB) contains everything (2.0 + SP1 + SP2, 3.0 + SP1 + SP2, 3.5 + SP1) in all supported architectures (x86, x64, ia64). This is the only download you need.
Download from here (click on .NET Framework 3.5 Service Pack 1 (Full Package)):
And then, you might want to install these updates:
IMPORTANT: After installing the .NET Framework 3.5 SP1 package (either the bootstrapper or the full package) you should immediately install the update KB959209 to address a set of known application compatibility issues.
There are 3 updates (for 2.0, 3.0, and 3.5) for 2 OS "groups" (XP/2003 or Vista/2008) for 3 architectures (x86, x64, or ia64), for a total of... 16 downloads! (I know, 3 * 2 * 3 = 18, but Server 2003 ia64 only supports up to 2.0). You need to install the 3 updates in order. Or you could run Windows Update after installing 3.5 SP1 and let it figure it out.
EDIT: To be clear, .Net 3.5 requires that 2.0 and 3.0 be installed and updated to SP1 level. .Net 3.5 SP1 requires that 2.0/3.0 be updated to SP2 level. But the 3.5(SP1) installers will do this automatically. That is, by installing 3.5 SP1, you don't need to worry about installing and updating 2.0 and 3.0 to SP1 or SP2. Just install 3.5 SP1 and you're done! (and the extra updates, 3.5 SP1.1?)
About the Client Profile, it can only be installed on x86 client machines that don't have ANY version of .Net installed, so it won't install on Vista (it already comes with .Net 3.0), any Windows Server version, nor any x64/ia64 OS. You can only install it on a Windows XP SP2+ (x86) that doesn't have any version of .Net installed, otherwise a full installation is done. The offline Client Profile installer is 255MB because it will try to do a client install first, if it can't it will fallback to a full install. Personally, I would just do a full install anyway.
"This error can arise if you are calling the service in a class library and calling the class library from another project."
In this case you will need to include the WS configuration settings into the main projects app.config if its a winapp or web.config if its a web app. This is the way to go even with PRISM and WPF/Silverlight.
Best Answer
I think that you cannot specify SP1, only different versions of the framework. It does make sense, otherwise you could have a lot of problems with an application specifically compiled for a given SP. You can also have problems with the current situation, but I think it's less headache.