You cannot install Microsoft Framework 4.0 on Mac OS.
As mentioned in your similar question
How to convert winform application into Mac (Lion) OS?[
^] you need to use
Mono[
^].
However the current Mono version does not support .NET 4.0. You will have to wait for Mono 2.12 which is
planned[
^] for the fall of 2011.
So the question is are you able to target .NET 3.5, in which case you can make use of Mono right now.