The R guys do a really easy to use package of mingw for satisfying compiler / linker requirements youll find you need (and all the other bits and bobs required).

Another thing worth mentioning is "user site packages" directory for those on locked down corporate machines. Pip install --user <package> will pop the package in %UserProfile%\Python\Python2X\site-packages\ - which is automatically on your $PYTHONPATH saving a little setup hassle.