How to install XGBoost or LightGBM on Windows?
Follow this XGBoost installation guide: https://xgboost.readthedocs.io/en/latest/build.html

If you are using python3 then make sure that you run: pip3 install xgboost

To fix the problem with lightgbm on windows try installing OpenSSL first, refer this: https://www.cloudinsidr.com/content/how-to-install-the-most-recent-version-of-openssl-on-windows-10-in-64-bit/n