I saw from a post that you can basically host your own mini windows inside of linux to play games with, and you can choose what to share with that little windows so microsoft can't track you in any way. Does anyone have a tutorual/guide for that? Also what Distro would be best for it?
Not sure what you mean. You can virtualize a whole windows machine but that will NOT be good for performance.
What you really want is a compatibility layer than maps syscalls to your linux kernel and emulates a windows filesystem. I'm fairly sure that's what Wine and Proton do, but am no expert.
If you install steam (on most distros) it should also install Proton to play games with (check ProtonDB for which games work well). Again no expert but maybe this helps a little.