On Windows 10, right click and press "Run with PowerShell" will install "Windows Subsystem for Linux" on your system. After it completes, Win+R -> bash will prompt you for the initialization.

enable-bash.ps1

if (!([Security.Principal.WindowsPrincipal][Security.Principal.WindowsIdentity]::GetCurrent()).IsInRole([Security.Principal.WindowsBuiltInRole] "Administrator")) { Start-Process powershell.exe "-NoProfile -ExecutionPolicy Bypass -File `"$PSCommandPath`"" -Verb RunAs; exit }

# Create AppModelUnlock if it doesn't exist, required for enabling Developer Mode
$RegistryKeyPath = "HKLM:\SOFTWARE\Microsoft\Windows\CurrentVersion\AppModelUnlock"
if (-not(Test-Path -Path $RegistryKeyPath)) {
    New-Item -Path $RegistryKeyPath -ItemType Directory -Force
}

# Add registry value to enable Developer Mode
New-ItemProperty -Path $RegistryKeyPath -Name AllowDevelopmentWithoutDevLicense -PropertyType DWORD -Value 1

Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux