The "Installing your distro" section from this (the manual download page) links to instructions to install via the Windows store. That page links back to this one for manual install instructions.
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I think it's meant to guide you here. Not very clear though.
https://docs.microsoft.com/en-us/windows/wsl/install-on-server
Add-AppxPackage .\Ubuntu.appx
Then run ubuntu1804.exe (or ubuntu1604.exe or ubuntux.xx.exe)
I figured it out after about an hour, much easier way to install the distro of your choice.
Thank you @elliot12
These are no longer circular, and have now been fixed! Thank you for filing this.
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I figured it out after about an hour, much easier way to install the distro of your choice.