Including dotnetfx.exe

Is there anyway to include the dotnetfx.exe in your .msi
package or setup.exe file instead of having it as a seperate
installation?

You must use the bootstrap setup from Microsoft. It's pretty straightforward and you really only edit a config file. After that it will seamlessly install .NET if needed and ignore if not. Of course, including it will make your installation 20mb+ bigger.

Get the bootstrap sample from here:
http://www.microsoft.com/downloads/...&displaylang=en

I've done this and it works.

From MSDN:
Creating a Single Setup Project to Install a .NET Framework Application and Dotnetfx.exe
The purpose of the Setup.exe Bootstrapper sample is to demonstrate how to create a single setup program that, when launched, installs the .NET Framework redistributable package Dotnetfx.exe, if necessary, and then installs a .NET Framework application. This sample bootstraps Dotnetfx.exe and a .NET Framework application's Microsoft Windows Installer-based setup program (.msi file). This sample is written in unmanaged code because it must be able to run on a computer where the .NET Framework is not installed. You can download a precompiled version of the Setup.exe.

The Setup.exe Bootstrapper sample performs the following actions:

1. Checks to see if a specified version of the .NET Framework is installed on the target computer.
2. If the specified version is not installed, it launches a silent installation of Dotnetfx.exe and, if necessary, upgrades to Windows Installer 2.0. A computer reboot might be required.
3. Installs the host .NET Framework application. If a computer reboot is required, it is suppressed until the host application is finished installing.