Look up how to install a Linux VM under Hyper-V. Don't waste your time with WSL 2 because a WSL 2 system will always be configured in a wrong way idiosyncratic to Microsoft. You want to configure the VM so it can access the outside world but still have an internal network address that you can ssh into.
I've had the best luck installing Desktop Ubuntu and then disabling X Windows because you've already got Microsoft Windows. To move files in an out of the VM use WinSCP. Any scheme for sharing files between Linux and Windows will screw up in some subtle ways and have you scratching your head at least and crying at worst, so don't. Treat it the same way you would a development machine in the cloud.
Then install and run docker in the VM exactly the same way you would for a cloud development machine.