I find this product extremely suspicious. Setting aside the issue with
it being essentially a clever hack with no support from MS, there's
also the question of licensing. For example, they say:
"Required portions of a third-party .NET Framework payload are
automatically selected and embedded into the executable, dramatically
reducing the complexity of application testing, deployment, and
support."
Now I'm pretty sure that "embedding" (essentially statically
linking) .NET Framework would produce a derived work, so unless
the .NET license agreement explicitly permits it, the result cannot be
redistributed under the copyright law. With Mono, assuming they
support it, the problem is that it's under LGPL, so any result of such
static linking would also have to be.
I may be wrong, of course, but I would still strongly recommend asking
a lawyer before even considering to use this thing.
Now as to the original question... it may be possible to just use
Mono. It has a Windows version, and, unlike .NET, it does not require
a system-wide install - you can perfectly well have a local copy of
Mono within the installation directory of your app, and avoid
registering any COM components and otherwise messing with the registry
during installation - this is similar to how many Java apps bundle
their own JRE. Mono is pretty small too. The downside is that 1) it is
slower (Mono JIT and GC can be several times slower than .NET
implementation), and 2) not all .NET APIs are supported - WinForms is
mostly okay but has some glitches, and you can forget about WPF/WCF/
WWF.