Open up Powershell and run the following script that downloads Ubutu and installs the Linux Subsystem on Windows.

# download Ubuntu
Invoke-WebRequest -Uri -OutFile Ubuntu.appx -UseBasicParsing

# extract the file
Rename-Item ./Ubuntu.appx ./
Expand-Archive ./ ./Ubuntu

# set path
$userenv = [System.Environment]::GetEnvironmentVariable("Path", "User")
[System.Environment]::SetEnvironmentVariable("PATH", $userenv + $(Get-Location).Path + "\Ubuntu", "User")

# install WSL:
Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux

Now that everything is in place, please restart the server. After the restart, open up Powershell again and run Ubuntu. You will be asked to create a new UNIX user.

cd Ubuntu

Now you can upgrade to the latest version of Ubuntu by this script:

sudo apt-get update
sudo apt-get upgrade

It might take some time to upgrade.