i downloaded the .Net dotnetfx.exe file. i get a box asking me where i want to place the extracted files. i clicked on the browse button but was not able to find Powerdesk.

I normally just extract to a temporary folder, like C:\tmp\ then after I install, I just delete all of c:\tmp\
Those files are just install files, so it really doesn't matter where you put them. I wouldn't suggest extracting them to your desktop though, because sometimes there is several thousand files, which would clutter up your desktop