I just PM'ed you the same, but for the benefit of others here's my reply:
You need to install Joomla on to a server, you can't run it from your desktop (without some 3rd party apps), and you can't install it on your desktop either. You need to have a hosting package which has at least one SQL database available, and PHP4 or 5 as part of the package. Most decent hosting packages bundle some software installers with the packages, such as Fantastico Deluxe, which allows you to easily install apps from the web based domain control panel. You need to find a decent host with the above mentioned features before you go any further.
EDIT: That host you linked to has everything you would need, and is quite cheap too. Never used them before so I couldn't comment on how good they are. Sometimes you can get dodgy hosts, I had one who went belly up, and my site was in limbo for a while. It cost me a fortune in lost work too. As I said though, I have no clue how good these chaps are but they seem cosher and offer everything you would need.