Requires Windows 10 or above
You'll want to have some Linux command line experience or be willing to learn, know your way around window's folders.

You can install Ubuntu and use it compile stuff from the SDK if you want to develop for the Steamlink hardware without a virtual machine or full blown Linux install, by using WSL in Windows 10 and 11.

Open command prompt
wsl --update
wsl --install -d Ubuntu
Create credentials
sudo apt update (will ask for password)
sudo apt upgrade
(this next line will make it start in the home directory from now on)
echo "cd ~" >> ~/.bashrc
cd ~ (takes you to your home folder)
(Line below will install some dependencies)

sudo apt install git make cmake libsdl2-dev lua5.2 libglm-dev yajl-tools build-essential

git clone https://github.com/ValveSoftware/steamlink-sdk

Let it finish and try building something

To transfer files easily back and forth I made a folder at C:\linuxshare and ran
(be aware nearly all of Linux is case sensitive)
cd ~
mkdir linuxshare
ln -s /mnt/c/linuxshare linuxshare
This creates a link to that folder that works similar to a folder shortcut

cd steamlink-sdk/examples/caveexpress
./build_steamlink.sh
(warnings are normal in this case, build times vary but should be under 10 minutes on a decent rig)
When it wraps up copy it to your C:\linuxshare so you can use Windows to put it on a USB
cp -r steamlink ~/linuxshare/

How I did ln -s /mnt/c/linuxshare linuxshare and made a C:\linuxshare folder should now have the file to put on a usb.

<todo> links to usb stuff and make an all in one page that seems pin worthy

Also you can search for wsl and make a shortcut somewhere to run later. Or just start it with wsl from command line again when you want to use it.

My thoughts on WSL, works pretty good and I'll be going this route rather than booting up a virtual machine. I've played around with it for a bit and it seems to work well and will help where I can.