I am a new Python user. I downloaded the latest Anaconda 3 2.4.1 (Python 3.5) from the below link: https://www.continuum.io/downloads
My PC Configurations are: Windo
You can download the xgboost package to your local computer, and you better place the xgboost source file under D:\ or C:\ (ps: download address: http://www.lfd.uci.edu/~gohlke/pythonlibs/#xgboost, and select "xgboost-0.6-cp35-cp35m-win_amd64.whl",but it is up to your operation system), and you open the Anaconda prompt, type in pip install D:\xgboost-0.6-cp35-cp35m-win_amd64.whl, then you can successful install xgboost into your anaconda