Puppy Linux is primarily a LiveCD Linux distribution.

A LiveCD is an operating system (typically containing other software as well; AKA OS) stored on a bootable CD-ROM or DVD-ROM that can be executed from it, without installation onto permanent media, such as a hard drive. The system returns to its previous OS when the LiveCD is ejected and the computer is rebooted.

A Linux distribution is a Unix-like operating system comprising of the Linux kernel, the GNU operating system (or most of it), other assorted free software/open-source software, and possibly proprietary software.

In short, Puppy Linux is an operating system you can use in place of Windows.

Release notes

Puppy Linux 3.00

Puppy Linux homepage