To download the .NET Framework 3.0 go to www.microsoft.com/downloads/details.aspx?FamilyId=.
The Visual Studio 2005 Extensions for Windows Workflow Foundation package is available as a separate download from www.microsoft.com/downloads/details.aspx?FamilyId=.
In addition, you might want to install the .NET 3.0 SDK as that contains a raft of Workflow examples - this is available from www.microsoft.com/downloads/details.aspx?familyid=.