This web page explains how to install WSL:
Install Windows Subsystem for Linux (WSL) on Windows 10
Installation instructions for the Windows Subsystem for Linux on Windows 10.
The store is here:
I recommend installing Debian because it is small.
You will need to supply a username and password. The password will be required when performing sudo commands.
After it is installed, you can run a bash shell using the Debian program in the start menu.