Windows software is always the same (immutable distro or not), as it is run with “wine”. To run Windows programs they are installed in what’s called a prefix, which is basically just a folder containing stuff related to Windows. Things like “program files” and all the other folder structures a Windows program would expect, and will then appear as a drive letter. The prefix is generated inside your home folder (typically) anyway, which is always writable, and one can house multiple windows programs (or just the one if that needs special settings).

Immutability matters more for the actual Linux system and how you install Linux native software. Normally, you install software using a package manager (pacman on Arch, apt for Debian, …), and each package knows what else is needed to run it, and that gets installed as well. Many programs needing the same library means that library will be installed once. For an immutable distro this is basically fixed, and programs get run using “flatpacks” (there are similar solutions with other names, same idea). These are similar to packages from a package manager, but instead everything needed to run a program it’s always contained. That means they are bigger, but this will run on any distro, as it doesn’t have to tell the package manager what else to install. There are other technical details, like flatpacks are somewhat isolated, but nothing critical.

I would suggest finding a YouTube video or article to go into more detail if this matters to you, or if you just want to know more about the differences and reasons for using each of them.

Basic idea: immutable distro has stable base, updates are rarer, but system harder to modify. Regular distro is easier to tinker with, and a rolling release means frequent updates (doesn’t mean you need to install them frequently, btw), but occasionally things do break and might even require a manual fix.