In this situation, you are running a computer with MS Windows, and you wish to run Puppy Linux as a virtual machine.
VMware Player is free, and its installer can be downloaded from VMware.com
. You will need to register with their site, and login (this is free). From their download page, choose the VMware Player version appropriate for your OS.
The installation is very straightforward under Windows, and so is not detailed here.
(and I gotta go . . . )