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.

If you choose to create a bootable USB stick, you have to use a dedicated piece of software such as Universal USB Installer or Rufus. Otherwise, you have to burn the image to a disk Boot to live ...

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.

The boot process is simple and similar to that of Windows: one has to download an image from the official website, create a bootable USB drive, and boot from it to start the installation process.