Add support for running on Windows using WSLg

[LouKordos]

WSLg allows running X server apps on Windows using WSL, even showing Gazebo as an example. Test and document this for windows users.

[LouKordos]

Also relevant: https://devblogs.microsoft.com/commandline/the-initial-preview-of-gui-app-support-is-now-available-for-the-windows-subsystem-for-linux-2/