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.

You can also use this drive to rescue data from corrupt Windows systems. Here’s how to create a live USB stick of Linux distributions from Windows, macOS and Linux.

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

How to make your own bootable OS X 10.9 Mavericks USB install drive Apple has changed things in 10.9, but making a recovery drive is still possible.