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
Look here https://github.com/Rafi993/xgboost/ for building xgboost on your machine. There are many different varieties of the solution above, but it seems that the version in the link above is the good one. At least that worked for me: I've tested it on Windows 7 and Windows Server 2008.
Then run the following commands in cmd in order to install python bindings:
cd python-package
python setup.py install
You might also need a proper mingw (google for tdm-gcc) and the latest setuptools from anaconda.
I hope it will help