linuxmemes

I would definitely recommend trying Ventoy if you haven't. Instead of flashing one image on your USB stick, it creates a small bootable EFI partition and a storage partition. You can then drop .iso images on the storage partition, and when booting Ventoy from the stick, it scans the isos and shows a simple interface to select which one you want to boot.

This means you can keep multiple installation media and/or tools on the same stick, with management being as simple as adding/removing files, while also being able to use it as storage in a pinch.

Somebody else already replied, but for clarity: Installing an OS is usually done without an OS already running. To this end, installation media comes on a disk image - in the past, you'd burn that on a CD, but these days you can flash it on a USB, and then reformat/reflash it if you want the stick "back". You can also check out Ventoy, which basically lets you instead drop the .iso files on a stick instead of having to flash a specific one.

Afterwards, you can boot up the installation media from your USB. This is probably another peculiarity, coming from windows, because Linux installation media often comes in the form of a live image - it's basically just the distribution you're installing, set to load itself into memory from the USB stick, alongside all the tools needed to install it onto permanent storage in your computer. This means you can just boot it off off a USB stick and try it out without installing. Performance might suffer and any changes won't be saved (by default), but that's what the other commenter is talking about.

Anyways, once you've booted into the live image you can actually install it. This is where it gets more complicated, since the exact steps depend on distribution, especially when dealing with dual-booting. If you have two drives in your computer (SSD or HDD), I'd recommend installing Linux on a separate one from Windows, for simple reasons - it makes it harder to accidentally wipe your other system by mistake, and windows likes to overwrite the bootloader with its own one.

Also, personal recommendation - if you use a Linux bootloader as your main one (that is, the one where you select whether you're booting into Linux or Windows), I'd recommend rEFInd - it has a simple graphical interface and automatically detects boot options on launch, so it requires very little configuration. And if you actually install on the same drive, you might want to look up a way to add Linux as a boot option in Windows's bootloader, since that helps avoid hassles with the bootloader being overwritten.

There are live images where you can test and run Linux out of an USB, but most of those are not persistent (start from scratch once you reboot), the other option is called dual boot where you have Windows and Linux installed in parallel and you select which one to use during boot.