Or, with current stable (160724), install "Bash on Ubuntu On Windows" (ugh), then in ConEmu, open the Tasks section in Settings and click "Add default tasks...", then Yes.

You may want to add the tilde to the path, as it seems to open to /mnt/c/Users/<username>/. Also, I think it still messes with the keys, but not always. They seem to work fine right after starting it.