Use the comments on protondb. They often list tweeks and troubleshooting steps that have been taken. Check steam community posts for specific games. You can also make your own post if nobody else has had your issue. General searches will usually get you where you need to go. I use kagi but generally anything not google works.

You need Windows installed first, set up your partitions, then install Linux. You could backup your data and then restore it. That’s the easiest way if you choose not to use a windows vm.