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Some of you have noticed in the beta program or when installing the final release of the .NET Framework 2.0 that there are no longer any configurations or wizards shortcuts installed into the Administrative Tools program group in .NET 2.0 like there were in 1.0 and 1.1. The .NET Framework team decided sometime during the development cycle for .NET 2.0 that these shortcuts were not really appropriate for a runtime redistributable program, and so the shortcuts were removed from the .NET Framework 2.0 redistributable and a configuration shortcut was added to the .NET Framework 2.0 SDK. The wizards shortcut was cut in .NET 2.0 so you will no longer see that installed by any member of the .NET 2.0 or VS 2005 product family.
Certo che dover installare tutto l'SDK... 
Fonte: Administrative tools shortcut has moved to the SDK in .NET Framework 2.0