Windows Linux Subsystem (WLS)

https://docs.microsoft.com/en-us/windows/wsl/install-win10

Installation & Configuration

Right-click on Powershell and choose Run as administrator
Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux

Reboot the computer
Go on the Microsoft Store
Search Kali Linux  and install

# Create normal user
enter new username & password

# Run commands as root
sudo su

# Update source repository
nano /etc/apt/sources.list

deb http://http.kali.org/kali kali-rolling main contrib non-free
deb-src http://http.kali.org/kali kali-rolling main contrib non-free

# Fix Windows not supporting seccomp
nano /etc/apt/apt.conf.d/999seccomp
Add:
apt::sandbox::seccomp "false";

# Configure proxy
nano /etc/apt/apt.conf
Acquire::http::proxy "http://user:pass@proxy.domain.com:8080"; 

# Update
apt update && sudo apt upgrade