WSL commands:

dism.exe /online /enable-feature /featurename:Microsoft-Windows-Subsystem-Linux /all /norestart   
dism.exe /online /enable-feature /featurename:VirtualMachinePlatform /all /norestart    
wsl --set-default-version 2   
wsl --install -d Ubuntu-20.04    

Ubuntu GUI commands:

For Cinnamon GUI:

sudo apt update && sudo apt -y upgrade
sudo apt-get purge xrdp
sudo apt install -y xrdp
sudo apt install -y cinnamon

sudo cp /etc/xrdp/xrdp.ini /etc/xrdp/xrdp.ini.bak
sudo sed -i 's/3389/3390/g' /etc/xrdp/xrdp.ini
sudo sed -i 's/max_bpp=32/#max_bpp=32\nmax_bpp=128/g' /etc/xrdp/xrdp.ini
sudo sed -i 's/xserverbpp=24/#xserverbpp=24\nxserverbpp=128/g' /etc/xrdp/xrdp.ini
echo cinnamon > ~/.xsession
sudo nano /etc/xrdp/startwm.sh    

Comment these lines to: #test -x /etc/X11/Xsession && exec /etc/X11/Xsession
#exec /bin/sh /etc/X11/Xsession

Add the following lines:
#cinnamon
cinnamon

For XFCE4 GUI:

sudo apt update && sudo apt -y upgrade
sudo apt-get purge xrdp
sudo apt install -y xrdp
sudo apt install -y xfce4
sudo apt install -y xfce4-goodies

sudo cp /etc/xrdp/xrdp.ini /etc/xrdp/xrdp.ini.bak
sudo sed -i 's/3389/3390/g' /etc/xrdp/xrdp.ini
sudo sed -i 's/max_bpp=32/#max_bpp=32\nmax_bpp=128/g' /etc/xrdp/xrdp.ini
sudo sed -i 's/xserverbpp=24/#xserverbpp=24\nxserverbpp=128/g' /etc/xrdp/xrdp.ini
echo xfce4-session > ~/.xsession
sudo nano /etc/xrdp/startwm.sh    

Comment these lines to: #test -x /etc/X11/Xsession && exec /etc/X11/Xsession
#exec /bin/sh /etc/X11/Xsession

Add the following lines:
#xfce
startxfce4

Start XRDP using:

sudo /etc/init.d/xrdp start

Now in Windows, use Remote Desktop Connection

Set computer link to: localhost:3390
Login using your Ubuntu username and password

Good links:

Microsoft GUI announcement: https://devblogs.microsoft.com/commandline/the-windows-subsystem-for-linux-build-2020-summary/
Ubuntu WSL2 GUI Install:
https://dev.to/darksmile92/linux-on-windows-wsl-with-desktop-environment-via-rdp-522g
WSL 2 install: https://docs.microsoft.com/en-us/windows/wsl/install-win10
Docker for WSL2: https://docs.docker.com/docker-for-windows/wsl/
What is WSL? https://docs.microsoft.com/en-us/windows/wsl/about
WSL documentation: https://docs.microsoft.com/en-us/windows/wsl/
WSL 2 Announcement: https://devblogs.microsoft.com/commandline/announcing-wsl-2/