Try compiling SciPy from source using Microsoft dev tools. Or libgmp, the standard library for arbitrary precision integer arithmetic.
That issue is much more complicated than what most FOSS projects deal with.
I agree with you, building a lot of non-Windows stuff on Windows sucks. It's getting better, though.
With libgmp, it looks like you should use http://www.mpir.org/ but I don't know how this works with programs that expect gmp.
R or Julia would have the exact same problems if they cared at all about MSVC.
> I agree with you, building a lot of non-Windows stuff on Windows sucks. It's getting better, though.
I actually didn't say that at all. It's the Microsoft dev tools that suck. GCC works fine.
And that's targeting py3. For py2, you would need to build with VS2008, which some packages flat out refuse (for example, icu wants at least VS2010).