I went ahead and ran through the install on a copy of Windows and it did work when I used both the full path and sudo to run the start command “sudo goal node start -d /var/lib/algorand”.
However, this has the consequence of creating all the ledger/log/algod files under root. I’m not sure if the Algorand team has a better suggestion for running under the Windows sub-system (@tsachi).
Depending on your needs @GGolov you might find the Docker sandbox project Algorand released to be superior or try running under a Vagrant VM.