Are necessary a few previous steps.

https://docs.microsoft.com/es-mx/windows/wsl/install-win10
dism.exe /online /enable-feature /featurename:Microsoft-Windows-Subsystem-Linux /all /norestart

dism.exe /online /enable-feature /featurename:VirtualMachinePlatform /all /norestart

Windows Subsystem for Linux Update Setup

Finish Setup

Another step in PowerShell

Installation sucesfully.

Ready for Ubuntu.

Linux rules.