If you receive a .pps file and don't know what it is nor what to do with it, here's a quick tip. .pps files are generated by Microsoft PowerPoint, and they are nothing more than a slideshow of a PowerPoint presentation. When you recieve them through email and you click them, the system doesn't know what to do with them, even when you have Keynote installed.
The trick is to rename the file to .ppt, after which Keynote will instantly recognize them.
[robg adds: If you have Office for OS X installed, it should open .pps files just fine, unless they were encrypted on the Windows machine -- in that case, you'll have to ask for an unprotected version of the slideshow, as Office for OS X can't handle protected Office for Windows documents (a glaring oversight in the cross-platform compatibility arena, if you ask me).]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20041005044558676