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.

Installation type Now, you can choose your preferences, such as the language and the installation - we recommend selecting Normal installation. Confirm your choices by clicking on Continue. Do not ...

But you can also download an ISO file for any of these operating systems and for many other Linux distributions and use the tool to copy the files to your USB flash drive.

Install Ubuntu onto USB flash drive There are a lot of Linux distros to choose from, but in our example, we are going to install Ubuntu using a Windows machine.

From the Hardware 2.0 mailbag: Can you install Ubuntu on a USB flash drive?Yes, yes you can. Here's how.

To Dual Boot, say Windows and Ubuntu, on separate Hard Drives, you must first meet the prerequisite and then follow the steps mentioned here.