High Risk MS05-004 detected.

A Trend Micro security check apparently has detected a high-risk vulnerability with the related bulletin MS05-004. I clicked on Windows Update which led to a High-priority update for Windows XP: Microsoft .NET Framework 1.1 Service Pack 1

I'm curious as to why I would be getting this high-priority update notice. I supposedly get my Windows Updates automatically installed. And isn't this something that should've been installed quite some time ago? Apparently it was published in 2004.

I'm assuming I should go ahead and install this update which I figure I should've already had. It says that once it's been installed, it can't be removed. Is it possible that I could've somehow had it accidentally removed from my system and that I now need to reinstall it?

I would greatly appreciate hearing from anyone who is able to understand what is going on. Thank you very much.