Unless you're using Linux on a virtual machine, installing the open-source OS is usually done via a USB drive. Because of this, you can burn an ISO to a USB drive, reboot the system, boot into the USB ...
With so many Linux distributions available, it takes something special to lure users away from Windows. Aurora checks all the boxes.
With Wine 10.19, support for these reparse point mechanisms has been implemented in key filesystem APIs: for example ...
Whatever the case, a portable Linux installation on a flash drive can be used in place of a normal storage drive in your PC.