That will be where the BIOS finds the OS to load during startup. The trouble is that you can't boot another OS once Windows or any OS has already booted.
, just watch the first 10 minutes.
Once you have set a removable drive as the first option, any time you start the PC with a bootable USB drive inserted the BIOS will load the OS off the drive. You usually get options to either run the OS as a trial from the USB drive or install to an internal hard drive, permanently deleting the contents of that drive. If you're just trying out a Linux OS, once you shut the machine down, remove the drive before startup & the BIOS will then load the OS from the next bootable drive, in your case Windows on an internal hard drive. That way you can test many different flavours of Linux. That YouTube channel also has videos on how to set up a dual boot system.
An alternative would be to set up virtual machine(s) on Windows using VMware or VirtualBox to try out Linux before committing to a full install but that's likely to be a bigger faff than just changing the boot order in the BIOS.