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Once the game has ran once, you can start it up again and select yes, this time it will install punkbuster (at least it did for me).
Although you may want to update Punkbuster manually if you wish to play multiplayer: https://community.pcgamingwiki.com/files/file/595-call-of-duty-world-at-war-punkbuster-kick-fix/
EDIT: The Punkbuster opens behind Steam, but doesn't initially show on the taskbar so you would never think it is there. Just minimize everything in the center of the screen to see it.
https://www.reddit.com/r/CallOfDuty/comments/16a8zos/cant_launch_world_at_war_waw/