You compile the OS, from scratch, locally.
It takes a long time.
For those who find such experiences to be educational, it is regarded as the best way to "really learn Linux".
For everyone else it is an eldritch horror that shall not be contemplated.
Think of it this way - you decide you want a car. Do you a) go to the showroom and buy one, new or otherwise; b) go and buy a fixer-upper some manuals and spare parts, or; c) go and buy a lathe, a power press, a bunch of tools and a pile of sheet metal and begin construction?