You only need one version of net framework installed at any one time as each successive version is an improvement over the previous one --- exactly which version you need to have (of the three that are available) depends on the application which needs it -- and that should be made clear on that applications requirements information. In most cases, when you purchase a program that needs it, the correct version of it is included with that program on the CD anyway, and gets installed automatically.
Now, only certain applications or programs need the Net Framework -- it isn't required for running Windows which is why it isn't supplied with Windows. I only have one program installed which needs it, and that's "Easy Media Creator v7" or later. If you didn't download/install the Net Framework yourself, you can be sure it's been installed as an essential component of some application you installed at some point.
If all your current applications are running properly, you don't need to worry about updating to the latest version of Net Framework, though you should of course keep up with the security updates for it if possible -- hopefully they will install okay in the future! And if they don't, just repeat what you did this time.