If you downloaded it from Microsoft -
Windows Internet Explorer 8 for Windows XP The filename you want to locate and run is: IE8-WindowsXP-x86-ENU.exe
Just double click the file from Windows Explorer and run it.
Edit -
Ah, wait a sec - you want to un-install it?
Click Start, All Programs, Control Panel. Start the Add or Remove Programs applet, highlight IE 8 and click Remove.