There are only a few pieces of software you need to install - the Scratch program from MIT, and the Scratch for .Net Gateway:
Most .Net Micro Framework boards will attach to your computer with a USB cable. That means you need USB drivers for your board. Unfortunately, those drivers and the methods for installint them vary from one manufacturer to another. You may need to install the manufacturer's SDK to get USB drivers for your board. Follow the instructions provided by the manufacturer of your .Net Micro Framework hardware.
The Scratch for .Net Gateway will help prepare and configure your .Net devices and also helps the Scratch program and your .Net device communicate with each other. You can install the Gateway from here : Install Gateway
After you install the Gateway, it will start running immediately and will attempt to detect your .Net Micro Framework device. If you exit the Gateway, you can restart it from the install link above or from your Start menu. You can plug your .Net device into the USB port of your computer at any time. The Gateway program will detect whether the firmware needs to be updated and will give you further instructions for your particular board. You can start and stop the MIT Scratch environment at any time, but the gateway needs to be running in order to create or run projects that rely on .Net Micro Framework boards.
Scratch for .Net Micro Framework uses a version of the Scratch editor that is installed on your desktop. (Future versions will also support the version of Scratch that runs in a web browser). The MIT Scratch programming environment can be installed by folowing these instructions : Scratch 2.0 Offline Editor
For detailed step-by-step instructions on preparing your .Net Micro Framework board and creating programs with Scratch, see the Documentation pages.