Install MySQL for Windows from .zip and reset root password
Since you started mysqld with --skip-grant-tables, you cannot execute any standard GRANT, REVOKE, or SET PASSWORD commands. Notwithstanding, you can change the password of root@localhost as follows:
UPDATE mysql.user SET password=PASSWORD(‘passhere') WHERE user='root' and host='localhost';

Then, restart mysqld and you are back in business.
As to you being anonymous, if you login right now and run
SELECT USER() HowYouAttemptedToLogin,CURRENT_USER() HowYouWereAllowedToLogin;

You will note that the HowYouWereAllowedToLogin will have an blank username and some host.
GIVE IT A TRY !!!
UPDATE 2015-11-17 16:24 EST
The column known as password in mysql.user no longer exists in MySQL 5.7.
It was renamed authentication_string.
Proper Approach
What you should have done is run
mysqld --initialize

That would create the data folder for you.
The root@localhost was assigned a temporary password, which is visible in the error file starting with the following datetime and string
2015-11-17T20:56:02.175980Z 1 [Note] A temporary password is generated for root@localhost:

You could log in with it and then run ALTER USER
mysql&gt; ALTER USER 'root'@'localhost' IDENTIFIED BY 'new_password';

See the MySQL 5.7 Documentation on SET PASSWORD