here is a huge amount of info - and tools
http://www.nu2.nu/bootablecd/
PE disks are used like the old bootable floppy.
generally when your windows install packs up
you don't have a full version of windows so by using a bootdisk you get .... just enough to do the job.
the advantage is that while it uses windows files it's license free
the job is generally running a utility prog or progs.
norton's drive recovery tools, partitioning and imaging, virus scanner, undelete, password recovery ... whatever runs in windows (almost) will run ....