Quick answer: Playden for PS5, an alpha launcher from developer leolobato, lets a jailbroken PS5 sign in to Steam, download Windows games and run them on the console through prospero-win, a PS5 port of Wine, with DXVK and VKD3D-Proton for graphics.
A jailbroken PS5 can now pull Windows games straight from a Steam library and run them on the console itself, with no PC streaming involved. The tool is Playden for PS5, an alpha launcher from developer leolobato, adapted from his Playden app for macOS. You sign in to Steam with a QR code or your account name and password, browse your library, download games, and each game gets its own tile on the PS5 Home screen. It runs as a regular PS5 app, so there's no separate OS to boot into.
Under the hood it uses prospero-win, a port of Wine to the PS5, with DXVK handling Direct3D 8 through 11. That's the same kind of Wine and DXVK stack Proton uses on the Steam Deck. The first release landed on October 12, version 0.5.0 added Direct3D 12 through VKD3D-Proton, and version 0.6.0 this week brought USB and FTP game imports, 120 Hz output and a 4K resolution option.
Right now this is very early. The developer's compatibility list has mostly older and indie games working, like Half-Life 2, Fallout: New Vegas, Portal and Vampire Survivors, while plenty of others crash or won't start. Games with kernel-level anti-cheat can't run, and games that need launchers like the EA app aren't supported yet. It only works on a jailbroken console, the Steam sign-in token is stored on the PS5 without encryption, and the developer warns a bug could overwrite Steam Cloud saves, so backing those up comes first.
Later on, the developer lists Steam game updates, other stores like GOG and Epic, and support for launchers from Rockstar, EA and Ubisoft as planned features. With releases coming every few days, the compatibility list is likely to keep changing.