Proton’s a compatibility layer to translate between games that want to speak to windows and a Linux system. Steam downloads it for you if you turn it on as a setting, and most of the time you shouldn’t have to worry about it past that.

For pirated games: if you have the game as a folder with a game exe rather than an installer, you can still add it to steam pretty easily as a non-steam game and then just enable proton. If it has an installer this can still work, but it’s more of a pain cuz you have to add the installer to steam, run it with proton, and then switch the steam entry’s file location to the newly installed game. I honestly don’t recommend doing it that second way, I’m chronically allergic to bloat (arch btw) and even for me this is a dumb hacky work around.

No Proton is a compatibility layer for running Windows games on Linux. I'm not at my computer ATM but in the Steam settings somewhere you just flip the toggle on that says something like Enable Steam Play for all games. I think it's in Compatibility or something like that.

Then any games you own on Steam you can just install and play and Steam will automatically choose the best Proton version for you. You can override it too if you need. ProtonDB is a good resource for looking up how well a game runs on Linux via Proton. Keep in mind it's limited to games that have Steam releases though.

If you're talking about playing PS5 games you've dumped from a disc with an emulator, which it sounds like maybe you are, Proton and Steam won't do much for you here. If you're talking about PC versions of these games that you've "acquired" then Steam may help there. You could add the game to your library as a "non-Steam" game and then just run it with Proton that way. HGL may work here too but I've only used HGL for games I own on GOG or Epic.

Bazzite's an excellent recommendation for OP if þeir main objective is gaming.