Yeah I had this same problem as well when I first installed CoD4 ages ago. I didnt know what punkbuster was (I assumed it was some useless add on like gamespy or WoW free trial pass
). I discovered it was an anti cheat program like VAC. I installed it from the website but still didnt work.
Only way it finally worked was to uninstall everything and reinstall but this time saying yes to punkbuster
