Thankfully, this upgrade doesn't requires a ROM update (has Microsoft learned something here) and therefore you can simply download it from Microsoft and install it on the device. The Microsoft .NET Compact Framework 2.0 Redistributable contains the common language runtime and class libraries built for the .NET Compact Framework. In addition to supporting version 2.0, it also supports applications developed for version 1.0 and service pack releases before version 2.0.
This redistributable enables running .NET Compact Framework applications on the Pocket PC, Pocket PC Phone Edition, Smartphone, and other Windows CE powered devices and uses ActiveSync 4.0 to update the device. Be sure to dock your device first before running NETCFSetupv2.msi. If your device is not docked, ActiveSync will store the CAB file until the time when you dock your device. Those not using ActiveSync can run the CAB files which match the device found in the install folder directly on the device.
Cheers ~ Arne