WINDOWS_COMPILE

First, read appveyor/run_with_env.cmd and see which Windows SDK (contains the compiler)
you need to install.

Open a command shell, and set the following variables depending on which Python you use:

set PYTHON_VERSION=2.7 # or 3.x
set PYTHON_ARCH=32 # or 64

Then you can compile with:

cmd /E:ON /V:ON /C .\appveyor\run_with_env.cmd python setup.py bdist_wheel


OpenMP support
==============

Python >= 2.6 and < 3.3
-----------------------
If you have Visual Studio 2008 SP1 installed you're done, otherwise please download:

Visual C++ 2008 SP1 Redistributable Package (x86)
http://www.microsoft.com/en-us/download/details.aspx?id=5582

Visual C++ 2008 SP1 Redistributable Package (x64)
http://www.microsoft.com/en-us/download/details.aspx?id=2092

Python >= 3.3 and < 3.5
-----------------------
You need to have Visual Studio 2010 Professional (or Premium or Ultimate) installed.

Python >= 3.5
-------------
You need to have Visual Studio 2015 installed.