I followed the steps in the guide, but my build ultimately failed with the following errors:

c:\users\wagne134\anaconda3\include\pyconfig.h(59): fatal error C1083: Cannot open include file: ‘io.h’: No such file or directory
error: command ‘C:\Program Files (x86)\Microsoft Visual Studio\2017\Enterprise\VC\Tools\MSVC\14.11.25503\bin\HostX64\x64\cl.exe’ failed with exit status 2