Installing WSL2 in recent Windows is straightforward. According to documentation, running wsl --install in elevated mode should do installation, download recent Ubuntu image and restart the machine. My installation finished without asking for a reboot. So I rebooted the machine myself.
Then you should be able to find Ubuntu in the start menu. In my case there was no Ubuntu there. I was confused about what went wrong. Started checking the list of installed images. Finally it was clear that for some reason Ubuntu was not downloaded. So I opened the Microsoft Store and installed Ubuntu from there.
Now Ubuntu is in the start menu and can be run from there. Also just invoking wsl from the command line will run Ubuntu (as there are no other images installed).