I have installed Ubuntu through the Windows Store, but there is nothing located at %localappdata%\lxss\ on my machine/user. Where is it located?
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Try %programfiles%\WindowsApps\CanonicalGroupLimited.UbuntuonWindows_1604.2017.922.0_x64__79rhkp1fndgsc
@mavaddat So that's where the application is installed, but what about the files I create in Linux?

%userprofile%\AppData\Local\Packages\SomeFolderDependingOnYourLinuxDistro
Thanks @pcounts ! That lead me to it. For me, the root directory rootfs was in
%userprofile%\AppData\Local\Packages\CanonicalGroupLimited.UbuntuonWindows_79rhkp1fndgsc\LocalState

Perhaps Microsoft should provide an easy way to find these files from Windows ?
They purposely don't because they don't want you manipulating Linux files with Windows until officially supported. That said, there is more ability in this arena with upcoming Spring Creator's Update due to new WSL features such as enabling metadata -o to extend Linux attributes to Windows. But until it's explicitly stated, modifying Linux files from Windows is unsupported.
The how-to linked above says as much as well.
@DarthSpock, thanks that's useful info.
BE WARNED: If you access/modify any of your Linux files using Windows apps/tools, you may well end up with corrupted files! Be sure to read this for more details: https://blogs.msdn.microsoft.com/commandline/2016/11/17/do-not-change-linux-files-using-windows-apps-and-tools/
Fixed in Windows version 1903!
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Thanks @pcounts ! That lead me to it. For me, the root directory

rootfswas in%userprofile%\AppData\Local\Packages\CanonicalGroupLimited.UbuntuonWindows_79rhkp1fndgsc\LocalState