I was at a client site today and they were installing the .net Framework 4 on a Windows 2003 server (sp1). Initially I was concerned that the framework might require sp2, but that turned out not to be the case.
We did experience a glitch though when we tried to navigate to the web application we were working on. We were greeted with a "The page cannot be found" 404 error.
We checked the framework version, the app pool, the default documents, and all were correct. After some search I found the answer here (courtesy of Johan Driessen).
The secret is to enable the framework for iis which can be done with this magical invocation:
cscript c:\windows\system32\iisext.vbs /EnFile C:\WINDOWS\Microsoft.NET\Framework\v4.0.30319\aspnet_isapi.dll