Error trying to build NR-SLAM on WSL, Ubuntu 20.04.03 LTS

I followed the github to try to build and run NR SLAM. I downloaded OpenCV (version 4.4.0), Pangolin, mlpack-4.3.0, Boost, and had to update the kitware repository using this link to get the most recent cmake version. When running ~/NR_SLAM$ ./build.sh, the build suddenly stops with this error:

make[1]: Leaving directory '/home/myname/NR_SLAM/build'make: *** [Makefile:159: all] Error 2

The only other error I could really find was way above:

/home/myname/NR_SLAM/third_party/g2o/g2o/core/eigen_types.h:30:10: fatal error: Eigen/Core: No such file or directory   30 | #include <Eigen/Core>      |          ^~~~~~~~~~~~compilation terminated.

Does anyone know what I might be doing wrong here..? Any help is greatly appreciated!!