Because the .NET Framework 3.5 redistributable is a hefty 240 MB, I would not deploy it along with my setup.exe. What you can do us to make use of the small (2.8 MB) Microsoft web downloader that you can deploy with your install and then call it to download the package from the Microsoft site. But this might take some times (even hours, depending on the Internet speed).

IMO, it's better to check for .NET 3.5 and if it is not available, open the download page from your installer so that users can download and install it.