In order to run a WPF application you need .net 3.0 installed (it's always preinstalled on Vista).
There are some tricks to copy some dlls from 3.0 or 3.5 into a .net 2.0 installations but this is unsupported - that means that it may work but it also may break other applications and it can stop working every time something is updated in the system - so please don't do it.
The good news is that .net 3.5sp1 (plus some bug fixes) is going to be on Windows Updates soon - so this problem may be temporary.
If you decide to target 3.0 and not 3.5 you just have to be careful not to use anything new from 3.5 and to test on 3.0 before releasing.
BTW, the WPF support in VS2005 is really bad and was never officially released, you may want to consider upgrading to VS2008, even with the free express version of VS2008 the WPF development tools are much better then VS2005.