It might be possible to make this work by installing and booting ESXi from an USB stick rather than the HDD. ESXi needs to create a couple of partitions on the installation disk so you may not be able to install another OS too.
Anyway, since this is meant as a lab, why don't you install VMware Workstation in your Windows OS and run ESXi as a VM? This works perfectly (assuming the host supports VT-x), see e.g. Building the Ultimate vSphere Lab and you can even manage the virtual ESXi host(s) from the Windows OS on the same laptop.
André