Don't worry. .NET is being downloaded and installed. It uses version 3.5 and needs to download almost 300mb of data, then install. Typically the installation of .NET 3.5 is VERY slow.
A slightly faster option is to download the .NET 3.5 redist package (it should be between 200 and 300 mb in size) and run it manually before installing the game.
Further instructions or assistance can be obtained by discussion under the forum tab.
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