There was several times I was complaining about the lack of tools on Windows and would be great to have a UNIX friendly Windows. It is now the case with the Subsystems.
In order to be able to install a distribution, the OS should enable the feature:
From PowerShell as Administrator:
Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux
From Graphical Interface:
Then it is possible to install from the Microsoft market or directly from the archives provided by Microsoft.
When installed it is possible to access the distribution from cmd, cmder or the quick launch.
Full details from MS official website