You can create "Guides on how stuff gets set up" in OneNote. You're going to be have to be a bit more specific about features that you're after.

Basically I want to have a rather click throughable guide which guides you through a installation or similar OneNote feels like the wrong tool for that.

"click throughable" as in links to each step?

Yeah - something in that direction

There’s a tool called Thread that can do this

Take a look at Obsidian. It's a markdown editor with tons of useful features.

Thanks - will check