depends on what we are talking about here.

If you have visual studio on your machine, then you already have the SDK. If you go into control panel -> administrative tools, you will see the option to configure security for .NET 2.0

However an end user machine won't have this configuration in the control panel unless they have at least the SDK installed, or the full IDE.

Since that is kind of a crazy option for and end users PC, I recommend you just learn caspol, and run that on the machines that need it.

I suppose it might be possible to build it into a MSI file, but I personally use INNO setup for my installations, and when I do that, I run caspol through my INNO setup code.

Here are the command lines that SHOULD set full trust on a machine for a given network directory.

C:\windows\Microsoft.NET\Framework\v2.0.50727\CasPol.exe -q -machine -remgroup "GroupNameHere"
c:\windows\Microsoft.NET\Framework\v2.0.50727\CasPol.exe -q -machine -addgroup 1.2 -url ""file://f:/yourdirectory/*"" FullTrust -name "GroupNameHere"

replace GroupNameHere in both lines with something to ID your app, maybe the name of it (it can be whatever you want though)

replace f:/yourdirectory with the actual path of the network exe

The reason I run the remove line first, is because if you don't and the user installs or runs this more than once, it will create multiple entires. So that just ensures if they have an existing entry, delete it before recreating it.