Windows Server 2003 already ships with Framework 1.1 so you don't really need to worry about installing that other than applying patches via Windows Update.
Framework 1.1 is fairly old and from experience pretty much all 1.1 code will run on 2.0 unmodified.
Framework 2.0 is a major release, it's still fairly popular so I'd go ahead and install that. This version also ships with ASP.NET 2.0.
Frameworks 3.0 and 3.5 aren't actually full blown frameworks in their own right. They're actually add-ons to 2.0. Framework 3.0 adds the C# 3.0 compiler, WCF, WPF and some additional .NET Framework components. Regardless of the C# version, the 3.0 compiler still compiles to CLR 2.0 IL. Framework 3.5 introduces features such as LINQ but as with Framework 3.0 is still dependant on the 2.0 bits. ASP.NET is still version 2.0
.NET Framework 4.0 is a major release and can be installed on its own without any dependencies on 2.0 (and the 3.0+3.5 updates). Framework 4.0 also has it's own new ASP.NET version, ASP.NET 4.0.
Most Framework 2.0 code will run on 4.0 unmodified, however there are one or two breaking changes for certain types of code:
.NET Framework 4 Migration Issues
Breaking changes in .NET 4.0
Breaking changes in .NET 4.0
I'd take the belt and braces approach and install both Framework 2.0 (and its 3.0+3.5 bolt ons - which actually ship as a single unified installer) and Framework 4.0 just to cover any eventualities.