You'd have to give us the steps you took to install. Puppy Linux is
different in that you have four options :

1) run puppy ony from cdrom and memory (this is a fresh system
everyone you boot it. Changes to the OS can happen when running,
but are dumped. When you shut down. Cd required to boot)

2) install and run puppy from a usb drive. (simalr to cd but you can
preserve changes. Like 1, you can do this with just about any Linux
system. Your bios must support booting from usb or else this gets
tricky. )

3) install puppy as a "frugal install" inside/alongside xp. This
option is what is different. It places all of your Linux data in a
continous file inside xp. Pupy is a separate OS, but needs to be
booted from the cd or usb key (or at least it used to). After
booting, you can remove the cd as you normally do.

4) install puppy to the entire or part of the hard drive and get rid
of windows, or dual boot with windows, respectively.

To me it sounds like you are trying option 4. Unlike most linux
distros, That is not the what puppy was intended for, but entirely
doable if you are ok with the security issues of running as root only.
For example read "why does puppy linux run as root" and below it
here:
http://puppylinux.org/wikka/SlackoTips>

I have installed Puppy as the base operating system on a laptop in the
past, so it is definitely dooable. Don't forget the excellent forums
as a possible source for help:

http://murga-linux.com/puppy/>