I am an ASP.NET developer, but now I want to build a software that can be installed on my PC. Software built in .NET platform only works when the .NET Framework is installed, and software written in Java only works if the JDK is installed. When I install programs like Firefox, uTorrent, etc., I don't need to have any frameworks (.NET, JDK, etc.) installed. How do I write software that doesn't depend on a framework?
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4You will have to use a language that isn't dependent on a framework or otherwise only target clients that are already have your framework installed.
If you chose C or C++ for example, you would distribute binaries to your client that contained machine code. This code would not be dependent on a runtime environment (like C# or Java) or an interpreter (like Python or Ruby). This is the way that applications like Firefox and uTorrent are written.
Fundamentally you always have a "platform", which is the operating system. Traditionally if you want to write code that will run on multiple operating systems you would use a fairly portable language such as C++ that produces native executables for a target operating system. Still, there are differences between how different operating systems work. There will therefore be parts of the C++ (or other portable language) code that are specific to that OS. You try to isolate those parts as much as possible to minimize the effort to port between OSes. Still, that effort is typically very substantial. You are also limited to the least common denominator of features available on all target operating systems (unless you create a custom version for a given OS that exposes its special features).
This is complex, time consuming and expensive. That's the reason technologies such as Java and .NET were created.
"When I install programs like Firefox, uTorrent, etc., I don't need to have any frameworks."
Actually, you do. They just tend to use the C++ frameworks, such as MFC, some of which are already installed. Even then, there are installers for these frameworks that are included with other application installers (usually called Microsoft Visual C++ 2008 SP1 Redistributable Package or something like that. See Also: Visual C++ Deployment).
Now, having said that, they don't require a virtual machine (like a JVM for Java or a CLR for .NET), because C++ compiles down to x86 / x86-64 machine language to be executed directly by the operating system.
If You want to build really platform independent software You will finally end up with solution like Java Runtime or .NET. What You could do, You could thing about writing application in such way that You are able to compile/run it on most known platform, and of course then You need middleware to translate Your application's objects into platform objects (functions, whatever...).
I have seen solutions made in Pascal for DOS in such layer of abstraction that with little effort it was moved directly to Delphi for Windows without touching application logic.