That option works fine when you download the Windows 10 installer files using the official Windows 10 Download page, because those files are packaged specifically for use on USB flash drives.

Learn how to fix The file 'install.wim' is too large for the destination file system error on Windows 11/10 which occurs when copying ISO file to a bootable USB flash ...

You can install Windows 10 by downloading a copy of the installation files from Microsoft's website onto a USB flash drive.

But I recommend a slightly different approach: Use the option to download the Windows 10 installer as an ISO file, and then use that file to make bootable installation media.

WinToUSB is a free software that allows you to install & run Windows from a USB Flash Drive or any external media. Create portable Windows 11/10 easily!

If you install Windows to an external drive, USB 3.1 can make it almost as fast as an internal drive.

Did you know that you can run Windows directly off a USB drive? Here is a simple guide on how to download, create, and run Windows 11 or 10 from a USB flash drive.