It sounds like the download should be able to automatically create a bootable CD or USB (without needing Rufus)
To use one, the system must support booting from the device, and be set to do so in preference to the hard disk (BIOS boot order).
Yes, it boots and runs from the CD or USB (or quite often, creates a RAMdisk to run from).
The purpose, is to be able to carry out recovery operations when the hard disk has problems, and without anything on the hard disk being active and possibly interfering).
Similarly, a bootable antivirus CD is often the best way to dislodge a virus with too much self-defence to shift once active.