You booted into Linux Lite (yaaaaay! Beautiful ain't it!), but did not install it. It's not a program that you run "inside" Windows, it's a whole 'nother operating system that replaces Windows.
So before you install Linux Lite, save copies of all your important files (documents, music, pictures, videos - all the stuff you have saved to your hard drive) to a separate USB stick, external hard drive, or some other backup.
You can set up Linux Lite to run alongside Windows (dual-boot), in which you choose which operating system (OS) to boot into at startup, or you can wipe away Windows altogether and use only Linux Lite, like most of us have done.
There's a "Install Linux Lite" icon on the desktop that you can click on after you boot into the USB next time (after you have done a back-up of all your important stuff), and the installer will take you step-by-step through the process, whichever option you choose - alongside Windows 10 or in place of it. You can use one at a time, never both, since they are separate and incompatible operating systems.