Start PowerShell as an administrator.

Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux

And then, you need to restart your machine, so hit y

Start PowerShell as an administrator again.

Now, that you have WSL enabled, you can install Kali Linux just by going to the Microsoft Store. Or, you can install it via PowerShell.

To install it via PowerShell, you need to download the Kali appx file.

Invoke-WebRequest -Uri https://aka.ms/wsl-kali-linux-new -Outfile Kali.appx -UseBasicParsing

Now, to install it:

Add-AppxPackage .\Kali.appx

Now, for the first start, as it needs to perform a few initial things.

Go to search, and search for "Kali Linux" and open it.
Create a username, and set the password.

And that's all!