These are the steps I followed to get Ubuntu installed in my Window 10 system.
PS> Start-Process powershell -Verb runAs
PS> Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux
PS> Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux Do you want to restart the computer to complete this operation now? [Y] Yes [N] No [?] Help (default is "Y"): Y
Once your system is restarted, follow https://itsfoss.com/install-bash-on-windows/
Create new conf empty file inside /etc/apt/ and do the following
$ sudo vi /etc/apt/apt.conf
add this line to the file if you are using http proxy else https of ftp:
Acquire::http::Proxy "http://user:pass@proxy_host:port";