"...Windows Preinstallation Environment (Windows PE)..is a minimal..operating system with limited services, built on the Windows..kernel. It is used to prepare a computer for Windows installation, to copy disk images from a network file server, and to initiate Windows Setup...." (from What is Windows PE?)
WinPE is included in Windows installation media and is used to run Windows Setup. A WinPE bootable USB drive can be created using tools included in Windows NT 6.* and Windows NT 10.*.
If you are not confident with using command-line applications then consider using Rufus as an alternative. The current Rufus release can also be used to download Windows 8.1 or Windows 10 Installation Media.
Windows Boot Manager menu with Grub4Dos entry added (BIOS firmware) -
WinPE screenshot. This is an unmodified boot.wim file from Windows Installation Media - this version of WinPE defaults to running Setup.exe. The command-prompt/console was accessed by pressing the Shift + F10 keys.
A walkthrough for creating a bootable USB disk with two partitions is available in the following section of this guide - DiskPart - Create a Bootable USB Drive.
Document date - 12th April 2023