Tested on Windows 10 x64, should also work to build hashcat for Windows on Linux.
I had it tested with WSL2 using Ubuntu_2004.2020.424.0_x64.appx.
Make sure to have the system upgraded after install (otherwise it will fail to find the gcc-mingw-w64-x86-64 package).
Enable WSL.
Press the win + r key on your keyboard simultaneously and in the "Run" popup window type bash and make sure to install additional dependencies necessary for hashcat compilation
sudo apt install gcc-mingw-w64-x86-64 g++-mingw-w64-x86-64 make git
git clone https://github.com/hashcat/hashcat
git clone https://github.com/win-iconv/win-iconv
cd win-iconv/
patch < ../hashcat/tools/win-iconv-64.diff
sudo make install
cd ../
You've already cloned the latest master revision of hashcat repository above, so switch to the folder and type "make win" to start compiling hashcat
cd hashcat/
make win
The process may take a while, please be patient. Once it's finished, close WSL. Press the win + r keys together and (in the "Run" popup window) type cmd, using cd navigate to the hashcat folder e.g.
cd "C:\Users\user\hashcat"
and start hashcat by typing
hashcat.exe