Here's How to Run native Bash on Ubuntu on Windows
Step 1: Enroll in the Windows Insider program and Select "Advanced Windows Update options" under "System Settings."

Step 2: Set your update ambition to "the fast ring".

Step 3: Now turn ON "Developer Mode" via Settings → Update & security → For developers, as this new feature is specifically meant for developers.

Step 4: You now need to check for new updates (Insider Preview Build 14316), apply all updates, and then Restart your system.

Step 5: Turn ON the new Windows feature, "Windows Subsystem for Linux (Beta)".

Note: You need a 64-bit version of Windows. Without it, you won't see the new option.
Step 6: Reboot your system.
Step 7: Now Press the Start button and type 'Bash' or simply open Command Prompt and type 'bash.' This will launch a console window powered by Ubuntu's user-space.

Bingo! Now experience Bash just as good as it's in variants of Linux.