You can test a live USB; no changes are saved. You can then install it later
from that USB. Or just play around with it. The 'mini' image is much more
lightweight. The regular image uses GNOME and is the full experience.
Personally I think the full image will be more to your liking, for testing
purposes.
If Trisquel is to your liking, you can resize your Windows partitions so that
you can install Trisquel alongside it. You can use the installer itself for
these purposes. Look up how to do it, though, in case something goes wrong
and follow instructions just to be safe. The installer will install the GNU
Grub bootloader to the MBR of the disk, and you will be able to select
Windows. However, new people often have problems booting other OSs because
Trisquel enables a GRUB password. You can turn this off though (look it up on
these forums).
Then afterwards you can get rid of Windows and use Trisquel exclusively. It
is your choice, but of course we recommend getting rid of Windows as soon as
possible as it is bad for your freedom!
You can, as you say, install it onto a USB stick (as opposed to having the
non-persistent installer image on it). It will be fast but you may severely
shorten the life of it, as flash storage has a certain number of writes
before it goes bad. That is why I think it is better to use the installer
live USB, and if you save changes (e.g. produce a document with Libreoffice)
save them to another USB drive.
The USB stick automatically chooses FAT32 because that is what is in the
image. This is not much of a concern for a live USB. But if you install it on
the USB drive then go with what you think is best. But it is better to
install it onto the internal hard drive.