Bash was introduced in Windows 10 Build 14316 so to test this feature you need to be on that build or later.
To get started you need to Add the Feature for Linux Subsystem
Execute bash.exe and bash will start to downloading from the Store
Once downloaded launch bash from the start menu
If the screen just flashes, you can try to run bash from a normal command prompt. You might be prompted with a bash error 0x800070057 this most likely is because you have set your Command Prompt to execute in Legacy Mode.
Once you have unchecked “Use Legacy Console” and relaunched the Commad Prompt you should be able to launch bash.
If you want to learn more about running bash in Windows Microsoft has recorded an awesome video to describe this in more detail. You will find the video here.