Installing Kali Linux

I have installed Kali Linux but I have now decided that I want it on my system, but not overwrite my main OS which is Windows.

Because everytime I open kali i'm basically a new user every time, like when you open incognito mode, it hasn't saved anything, so it doesn't "know you". But I want to save shit on kali so I can come back to it but I keep running into problem after problem and I don't know the answer to this one. Research hasn't been much of a help.