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
I figured out easy way to install XgBoost by mix of what is mentioned here.
Step 1: Install gitbash from here and start gitbash.
Step 2: git clone --recursive https://github.com/dmlc/xgboost
Step 3: git submodule init
git submodule update
step 4: alias make='mingw32-make'
step 5: cp make/mingw64.mk config.mk; make -j4
step 6: Goto Anaconda prompt and if you have a conda environment then activate that environment like my was py35 so I activate it by typing activate py35
cd python-package
python setup.py install
step 7: setup the Path in system environment variable to the path where you installed xgboost/python-package.