Can I just search it on google and download and install?
1.) Open up Crossover.
2.) Go to Configure in the top bar and select "Install Software..."
3.) Where Crossover asks you to "Select an application to install," click on the arrow to the left of Runtime Support Components, then scroll down and click on Microsoft .NET Framework (you should install 2.0 or higher). When you do this, "Select an installer" should turn into "Will download the installer from [web link]."
4.) Where Crossover asks you to "Select a bottle in which to install," select the bottle that you have set to run Legions on. Make sure you install it in the same bottle as you would install the Direct X utility (you can also find this in "Runtime Support Components").
5.) Just click "Yes" and "I agree" to whatever windows come up for the installation process.
6.) Go to Programs in the top bar, select Run Command..., choose the Launcher.exe and the bottle you have your utilities installed on, and you should be good to go!
Note: This process is much easier than google-searching the .NET framework because afaik, the latest edition of this utility requires a valid Windows license, and the Crossover software is only an emulation of the OS.