VcXsrv X server for Windows

A X server is needed on Windows if you SSH to remote Linux computers and wish to start X or GUI applications from there. It is also necessary if you are working with a Linux distribution running inside Windows Subsystem for Linux (WSL). VcXsrv is a free open-source X server that can be used for all these purposes.
To install VcXsrv, download its installer from here and install it.
Launch XLaunch from the Windows start menu. This brings up a wizard to pick the X server configuration options. I choose Multiple Windows and go with the default options for the rest. Now the X server is running in the background.

Local: Go to your WSL shell (say Ubuntu) and set the DISPLAY environment variable:

$ export DISPLAY=localhost:0.0
Launch any X or GUI app and its window should now be displayed in its own individual Windows window.
Remote: Remember to SSH to the remote system with trusted X11 forwarding using option -Y. On the remote system, set the DISPLAY variable:

$ export DISPLAY=your-windows-ip:0.0

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