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Setup

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1. download Anaconda for Windows in https://www.anaconda.com/download/

no matter whether it is Python 3.X or Python 2.7 but I recommend you Python 2.7 side

2. install Anaconda with default properties

no need to adjust from default check box

3. execute Anaconda Prompt
4. type conda create -n openai pip python=3.5
5. type activate openai
6. type pip install gym
7. PROFIT !

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Additional

when you need to ues OpenAI with Tensorflow

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1. execute Anaconda Prompt
2. type activate openai
3. type pip install --ignore-installed --upgrade tensorflow-gpu

because I gonna use tensorflow supporting gpu

4. PROFIT !