You can install Debian using the new Sarge installer beta4 (110 MB CD image):
http://www.debian.org/devel/debian-installer/
It installs just the base system (no X or the desktop stuff). Then you need to set up your network connection (if this is not done during installation), add a Debian package repository to /etc/apt/sources.list, and then use apt-get to update & upgrade your system, and to install x-window-system and kde (or gnome) plus other programs you want (Mozilla etc.) using apt-get.
Starting the Sarge installer CD with the "linux26" (without quotes) command will give you 2.6 kernel -- otherwise you'll get 2.4 kernel.
If this sounds intimidating, there are also easier alternatives available. MEPIS is a live CD that makes it easy to install a Debian system with KDE. The free version of Libranet is another newbie-friendly option.
PS. XPde is not yet very functional at the moment. If it ever evolves into 1.0 release, it will be one scary desktop environment.