One leads to a chest with a rare device, one leads to the hole containing the dowsing rod, one leads to the compass, and one contains the cowgirl cave. None of those locations are the pyramid.
So where do you get hints for where to find the pyramid?
Michael is the slaver boss, if you become a belly dancer and sold yourself to a man with head wrap, you will notice he has a red flame tattoo on his face. Then you can go to the tattoo parlor and ask for the same tattoo, must be reversed and must be dark red. Then buy a desert headwrap and went to the desert. If you meet a slaver with a wagon, show him your face tattoo and he will either bring you to the slaver base or slaver hideout with a map to the base. Though the wagon slavers won't approach you anymore if you beat them up before. Michael is in the base. You can also find the hideout with enough sense.