To install Windows Subsystem Linux, you have to enable Developer Mode in Settings App. So open Settings > Update & Security > For Developer > Developer Mode & select it to enable.

Or you may enable Developer Mode with registry tweak. Make registry script (.reg) with the following::
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\AppModelUnlock]
"AllowAllTrustedApps"=dword:1
"AllowDevelopmentWithoutDevLicense"=dword:1
Then wait some time to download the developer package. Next, open the Control Panel, click “Programs”, and click “Turn Windows Features On or Off” under Programs and Features. Enable the “Windows Subsystem for Linux (Beta)” option in the list here and click “OK”. Alternatively install WSL with commands::
Command Prompt:
DISM.exe /Online /Enable-Feature /All /FeatureName:Microsoft-Windows-Subsystem-Linux /NoRestart
Powershell:
Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux
Then resrtart your system and you are good to go. From Windows 10 build 16215, it is no longer required to enable Developer Mode and beta tag was removed from WSL optional component. See Windows 10 Installation Guide for further details.