While that’s absolutely true (and that method should work on other Linux devices too) it’s kind of a hassle when you have to change the exe path multiple times just to install the game and it’s dependencies like dx, visual c etc.
I’d recommend that method only if you’re a purist (and a bit of a masochist :D ) and you want to keep the machine as bloat free as possible at any costs
There are multiple game launchers that are able to run windows games and programs: Lutris, Heroic, Bottles, just to mention some of them. I played around with all of them on my steam deck and found that Heroic works the best for me in terms of reliability and convenience.
You click on „add game“ and a window pops up prompting you to input the game name, where to create the prefix (basically a virtual windows environment), and the path to the executable. If the game isn’t pre-installed you can hit the „run installer first“ button and install the game and any dependencies beforehand and add the executable after the successful installation.
You’re absolutely right. For some reason I had Steam pre-installed in my head, probably bc the SD is the only Linux device I’m using