Just as a note (in case the above link dies at some point in the future), link directly to the ClickOnce installer for PerformancePoint Dashboard Designer by using the link: https://webapp/sitecollection/_layouts/ppsma/1033/designer.application
This will install PPDD in your start menu (under SharePoint) for easier future access.
Note, that if you include the full path to your BI site collection in the url (like above), PerformancePoint will be automatically wired to use that site collection.
If you use the url without a site collection (that is, link to the root of the web application) and there is no PerformancePoint Features activated there, you will have to manually associate PPDD with the BI site collection under Orb Menu -> Options.