Seems like a weird regression 16 years after Windows XP shipped with "My Documents".
I used Anaconda for a while, but I've since moved back to CPython. Most packages install fine on Windows using pip now, and the ones that don't is just a download away from http://www.lfd.uci.edu/~gohlke/pythonlibs/. Using the standard Python distribution is also nicer because of the python launcher, and it makes .py files executable like .exe and .bat.