Techgenix provides a good article to enable Ubuntu Bash with your Windows 10 – but you need to have Creators Update or newer builds. See the article: http://techgenix.com/bash-on-windows-10.
Update 2019-09-13: In the meantime, much happened to Windows 10 and so WSL, the Windows Subsystem for Linus. Now with Windows 10 v1903, Windows Terminal is available in early preview (currently, I use version 0.4). A great cmd.exe replacement, as Windows Terminal is able not only to provide a modern interface to the Windows CLI, but integrate PowerShell CLI and so Ubuntu and Kali Linux shell. At the moment, the preview does not deliver the look and feel you see in their blog. ;- )
Pretty curious how Windows Terminal will evolve. In the meantime I still use Cmder / ConEmu as a very good cmd.exe replacement – also with PowerShell and even a serial Console. Check it out!