How to run linux software on windows?

1> Cygwin.
 This link gives you everything about Cygwin.
https://www.physionet.org/physiotools/cygwin/
Installation -> https://cygwin.com/install.html
User Guide  -> https://cygwin.com/cygwin-ug-net.html

2>MSYS.
 This link gives you everything about MSYS.
http://www.mingw.org/wiki/msys

3>WSL (Windows subsystem for Linux).
https://msdn.microsoft.com/en-us/commandline/wsl/install_guide