That file you downloaded from Microsoft, is it called ppviewer.exe? If so, that is the installer for PowerPoint Viewer.
All you need to do is double click that file and the installation will start. There should be no complications like Windows 98, or using the Run command, or anything like that. It should install itself very easily.
You say you don't see the file on the hard disk, but your Desktop is just a section of your har disk. The Desktop is a folder stored here;
C:\Documents and Settings\Username\Desktop
where ''Username'' is the name of your XP account.
Once you have installed PowerPoint, you need do no more. It will automatically associated the PowerPoint Viewer program to open any .pps files, (eg like the file you received in the email), and you have to do nothing further.
In fact, once installed, all you have to do is find that email again, click on the .pps attachment, and it will open in PowerPoint Viewer.
Once you have tested it, you can then remove that ppviewer.exe from your Desktop. It's not needed there. You can either delete it by dragging it to your Recycle Bin, or like a lot of people, save it in a special Downloaded Files folder you can create anywhere, so that if you have difficulties again, you can just re-install it from there.
If you have already tried double clicking that file and are still having problems, what exactly is happening?