Following are other essential setups which are require to start development in .NET3.0.
Visual Studio 2005 Service Pack 1
http://msdn2.microsoft.com/en-us/vstudio/bb265237.aspx
.NET Framework 3.0
http://www.microsoft.com/downloads/details.aspx?familyid=10CC340B-F857-4A14-83F5-25634C3BF043&displaylang=en
"Orcas" or Extensions for Visual Studio 2005
http://www.microsoft.com/downloads/details.aspx?familyid=F54F5537-CC86-4BF5-AE44-F5A1E805680D&displaylang=en
Windows SDK for .NET Framework 3.0 - this one takes awhile and isn't necessary, but it has some good samples.
http://www.microsoft.com/downloads/details.aspx?FamilyId=C2B1E300-F358-4523-B479-F53D234CDCCF&displaylang=en