Open Power Shell with administrative rights:

wsl --install

Then check for all available distros:

wsl --list --online

The following is a list of valid distributions that can be installed.
Install using 'wsl --install -d <Distro>'.

NAME            FRIENDLY NAME
Ubuntu          Ubuntu
Debian          Debian GNU/Linux
kali-linux      Kali Linux Rolling
openSUSE-42     openSUSE Leap 42
SLES-12         SUSE Linux Enterprise Server v12
Ubuntu-16.04    Ubuntu 16.04 LTS
Ubuntu-18.04    Ubuntu 18.04 LTS
Ubuntu-20.04    Ubuntu 20.04 LTS

Install a distro:

wsl.exe --install -d

At the end, if the installation was successful, you'll be asked to enter an username and a password.