@Johnie Sorry, I should mention that you should first do:
$ sudo apt update
$ sudo apt upgrade
In order to get your packages system (apt) up-to-date (assuming you just set WSL up).
Then try again with:
$ sudo apt-get install build-essential cmake libcurl4-gnutls-dev libnetcdf-dev gdal-bin libgdal-dev libfftw3-dev libpcre3-dev liblapack-dev libblas-dev libglib2.0-dev ghostscript
Once you have installed dependencies, try to continue with the rest of the commands I gave.
This is what you should do if you want to build gmt yourself from source. In that case do not run sudo apt install gmt or else, as Joaquim said, you may get an old version of gmt installed. If you don’t want to bother building it yourself, you may run sudo apt install gmt.
I agree with Joaquim that if you’re only going to do super simple oneliners, installing gmt on windows and using cmd is OK. But as soon as you want to do scripts that are > 2 lines, cmd becomes a royal pain in my opinion. If I could talk to my former self I would say “start to use bash immediately”. I wrote scripts in cmd for years. Now I refuse to touch it.