If you do not have the .NET Framework version 3.5 installed on your development computer, you must install it if you want to develop SQL CLR assemblies for SQL Server 2005 or SQL Server 2008. SQL Server 2005 and SQL Server 2008 support only those assemblies that target the 2.0, 3.0, or 3.5 version of the .NET Framework. You specify the .NET Framework version in the project properties. Press F1 for more information.

When we will create CLR objects in Visual studio 2010 we may get warning message like:

If you do not have the .NET Framework version 3.5 installed on your development computer, you must install it if you want to develop SQL CLR assemblies for SQL Server 2005 or SQL Server 2008.  SQL Server 2005 and SQL Server 2008 support only those assemblies that target the 2.0, 3.0, or 3.5 version of the .NET Framework. You specify the .NET Framework version in the project properties. Press F1 for more information.

It is due to we cannot create sql objects like CLR stored procedures, CLR data types etc in .net 4.0 framework so it is necessary that your operating system must have .net framework of versions 3.5 or 3.0 etc.