I'm a major noob when it comes to linux. I've had cygwin for a long time, mostly to test out ps3 stuff, but I can't say I know how to use it very well. I don't even know where the files downloaded to.
Most linux distributions have something called a package manager. A package manager looks at a list of software, with downloads. I think debain's is called APT. So running "sudo apt update", updates that list of software, and "sudo apt install gksu" searches that list for gksu, and installs it if it can find it. You use sudo to request administrator privileges, just like when you are installing a software on windows, and that window pops up asking if the app should be allowed to run as administrator (except this is all within WSL, and not your windows files. But be careful because things CAN access your files through /mnt/c, which is your windows drive as WSL sees it.).
On linux, a lot of window managers work over an internet port, that is restricted to be local, and just used for graphics. VcXsrv is what's called an X Server. It lets you take a vm or an actual machine, and use VcXsrv as the display, over that port. On the linux side, you say that it is port 0, by running "export DISPLAY=:0" (you can also specify a different ip, if it is using the wrong network interface, like this: export DISPLAY=192.168.1.158:0), and VcXsrv accepts that connection and displays the app when a gui tries to open, such as firefox or lmms.
Sorry, that was a lot
. You can find VcXsrv here:
https://sourceforge.net/projects/vcxsrv/
Using graphical applications like this on wsl is unofficial, and can sometimes be inconsistent whether it works or not
I don't even know if you need an X Server to use gksu, I just thought I would explain anyway since I find it interesting, I don't know if you do.