title: Windows missing Python.h
body: <p>I'm trying to run a sample Theano code that uses GPU on windows.
  My python (with python-dev and Theano and all required libraries) was installed from Anaconda.
  This is the error I run into:</p>
  
  <p><code>Cannot open include file: 'Python.h': No such file or directory</code></p>
  
  <p>My <code>Python.h</code> is actually in <code>c://Anaconda/include/</code></p>
  
  <p>I'm guessing that I should add that directory to some environmental variable, but I don't know which.</p>