If you must run Windows, do it on a completely separate device if you can. That way your one game that's DRM-locked to Windows can stay on its own machine without Windows getting hostile to your Linux install like in a dual-boot.
If you don't have/can't obtain a separate device for installing Windows on and you must dual-boot, the safest way to do that is to disconnect your Linux drive(s), install Windows on its own fresh drive so it can have its own boot partition and its own bootloader, reconnect your Linux drive(s) after your Windows drive is finished setting up and set your EFI boot order to point to your Linux drive, and then set your Linux bootloader, usually GRUB, to query your Windows drive and let you pick it to boot from, that way hopefully Windows stays on its own drive and its own boot partition and doesn't try to screw over your Linux drive and its boot partition.