Install a Linux distro
You install Linux distributions for WSL from the Microsoft Store. You can use the store app, or search for a Linux distro in the Windows search bar. Choose the Linux distribution you want to install (for example Ubuntu) and follow the prompts.
And when done, select Launch to get started. This will open a Linux terminal and complete the installation. You'll need to create a user ID and password since you are setting up a full Linux instance. You are now running Linux on Windows.