Perhaps they referenced this guide to create a bootable Live USB on Windows, allowing them to test drive something like Ubuntu without making any changes to their PC.

How to make a bootable USB drive If you're trying to install a new operating system or flash your BIOS, you're going to need a bootable USB drive - here's how to make one.

By following these steps, you can easily create a bootable Ubuntu USB from a Windows system, enabling you to test Ubuntu or use it for troubleshooting and data recovery.

Thanks to open-source gem UNetbootin, you can quickly and easily transform a flash drive into the ultimate rescue tool.

Boot into Puppy Linux: The system will now boot from the USB drive. You may be prompted to create a persistent file for saving session data on shutdown. Tips and Considerations ...