I tried to install OpenCV on Anaconda
pip install cv2
pip install opencv
conda install opencv
conda install -c https://conda.binstar.org/jjhelmus opencv
I guess
http://answers.opencv.org/question/17536/install-opencv-for-anaconda-ipython/
it would be an answer
If you compile OpenCV from source, and Anaconda is your default python interpretor
(CMake rule PYTHON_PACKAGES_PATH = C:\Anaconda\Lib\site-packages),
then the install rule will copy cv2.pyd to C:\Anaconda\Lib\site-packages.
Otherwise, you could do it manually, and make sure OpenCV libs are in the PATH.
Still I don't know what is CMake rule(?) and "install rule".