I am trying to study Keras library and I tried to run this example from https://github.com/fchollet/keras/tree/master/examples
\'\'\'Trains a simple deep NN
The error clearly says that it cannot find g++.exe. Theano requires a C++ compiler to generate and compile C++ code in order to accelerate execution of the code, but seems you don't have such compiler.
So either install g++ (maybe from a MinGW install) and configure the paths to the g++.exe binary in theano's configuration or disable theano's C++ code generator in the configuration.