It's really simple now in 2020. Here I'm running Ubuntu 18.04 on WSL in Windows 10.
First of all you need a display to show your application. So install any X Server in windows - XMing, VcXsrv, XManager etc. I used VcXsrv which is free and a fork or XMing. Run it with these settings: Multiple Windows, Display Number -1, Start no client
In WSL, export DISPLAY=:0
Install your GUI application in WSL (e.g. sudo apt-get install x11-apps )
You are done
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