If you want to install any Linux distributions for WSL ensure that the Microsoft-Windows-Subsystem-Linux optional feature is enabled using the following procedure:

  1. Open a PowerShell as Administrator and run the following (i.e. if it is not installed): 
    Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux
  2. Restart the computer when prompted.
  3. Open the Microsoft Store
  4. Search for the Linux distribution (e.g. Ubuntu) you like.
  5. Click it and the click the Install button.
  6. After finishing the installation search for it in the Start menu.

    Usually the newly installed application is at the top of the start menu.