Ubuntu is the first of the Linux distros that were announced as coming to the Windows Store during the most recent Build conference. It's available through the Windows Store for download and runs in it's own sandbox.
Ubuntu on Windows lets you run an Ubuntu Terminal and run Ubuntu command line utilities but you'll need to go to Control Panel and play with a few settings.
Once you're in Control Panel, go to the "Turn Windows features on or off" option and select "Windows Subsystem for Linux". After you click OK and reboot you'll be ready to roll.