If you have searched for the .NET Framework 2.0 Configuration Tool (mscorcfg.msc) in your Administrative Tools you probably noticed that it isn't there (like with v1.1). This is because Microsoft decided to remove this tool from the redistributable package, it is now in the Software Development kit (SDK).
I don't know the reasonning behind this decision but it's certainly not to make things easier for the rest of us. Now I have to download over 300 Mb just to change the security settings.
You can download the SDK at MSDN.
Oh, I almost forgot, you can also use the Code Access Security Policy command line toot (Caspol.exe) to do the same things that then Configuration Tool does, but guess what ? it is also in the SDK (dah).