I tried it with Native tools command prompt for vs 2019. I started the process with
C:\Windows\System32>cd C:\Users\Admin\Downloads\Pytorch\pytorch

C:\Users\Admin\Downloads\Pytorch\pytorch>set "CMAKE_INCLUDE_PATH=C:\Users\Admin\Downloads\Pytorch\mkl\include"

C:\Users\Admin\Downloads\Pytorch\pytorch>set "LIB=C:\Users\Admin\Downloads\Pytorch\mkl\lib;%LIB%"

C:\Users\Admin\Downloads\Pytorch\pytorch>set USE_NINJA=ON

C:\Users\Admin\Downloads\Pytorch\pytorch>set CMAKE_GENERATOR=Ninja

set USE_MKLDNN=ON

C:\Users\Admin\Downloads\Pytorch\pytorch>"C:\Users\Admin\anaconda3\python.exe" "setup.py" install --cmake

After less than a minute, I get:
C:\Users\Admin\anaconda3\lib\site-packages\numpy\__init__.py:138: UserWarning: mkl-service package failed to import, therefore Intel(R) MKL initialization ensuring its correct out-of-the box operation under condition when Gnu OpenMP had already been loaded by Python process is not assured. Please install mkl-service package, see http://github.com/IntelPython/mkl-service
  from . import _distributor_init
Building wheel torch-1.8.0a0
-- Building version 1.8.0a0
cmake -GNinja -DBUILD_PYTHON=True -DBUILD_TEST=True -DCMAKE_BUILD_TYPE=Release -DCMAKE_GENERATOR=Ninja -DCMAKE_INCLUDE_PATH=C:\Users\Admin\Downloads\Pytorch\mkl\include -DCMAKE_INSTALL_PREFIX=C:\Users\Admin\Downloads\Pytorch\pytorch\torch -DCMAKE_PREFIX_PATH=C:\Users\Admin\anaconda3\Lib\site-packages -DJAVA_HOME=C:\Users\Admin\AppData\Local\Programs\AdoptOpenJDK\ -DPYTHON_EXECUTABLE=C:\Users\Admin\anaconda3\python.exe -DPYTHON_INCLUDE_DIR=C:\Users\Admin\anaconda3\include -DPYTHON_LIBRARY=C:\Users\Admin\anaconda3/libs/python38.lib -DTORCH_BUILD_VERSION=1.8.0a0 -DUSE_NINJA=ON -DUSE_NUMPY=True C:\Users\Admin\Downloads\Pytorch\pytorch
-- The CXX compiler identification is MSVC 19.27.29111.0
-- The C compiler identification is MSVC 19.27.29111.0
-- Detecting CXX compiler ABI info
-- Detecting CXX compiler ABI info - done
-- Check for working CXX compiler: C:/Program Files (x86)/Microsoft Visual Studio/2019/Community/VC/Tools/MSVC/14.27.29110/bin/Hostx64/x64/cl.exe - skipped
-- Detecting CXX compile features
-- Detecting CXX compile features - done
-- Detecting C compiler ABI info
-- Detecting C compiler ABI info - done
-- Check for working C compiler: C:/Program Files (x86)/Microsoft Visual Studio/2019/Community/VC/Tools/MSVC/14.27.29110/bin/Hostx64/x64/cl.exe - skipped
-- Detecting C compile features
-- Detecting C compile features - done
-- Not forcing any particular BLAS to be found
CMake Warning at CMakeLists.txt:234 (message):
  TensorPipe cannot be used on Windows.  Set it to OFF

CMake Error at CMakeLists.txt:237 (find_library):
  Could not find libuv_tmp_LIBRARY using the following names: uv, libuv


-- Configuring incomplete, errors occurred!
See also "C:/Users/Admin/Downloads/Pytorch/pytorch/build/CMakeFiles/CMakeOutput.log".
Traceback (most recent call last):
  File "setup.py", line 727, in <module>
    build_deps()
  File "setup.py", line 314, in build_deps
    build_caffe2(version=version,
  File "C:\Users\Admin\Downloads\Pytorch\pytorch\tools\build_pytorch_libs.py", line 54, in build_caffe2
    cmake.generate(version,
  File "C:\Users\Admin\Downloads\Pytorch\pytorch\tools\setup_helpers\cmake.py", line 330, in generate
    self.run(args, env=my_env)
  File "C:\Users\Admin\Downloads\Pytorch\pytorch\tools\setup_helpers\cmake.py", line 141, in run
    check_call(command, cwd=self.build_dir, env=env)
  File "C:\Users\Admin\anaconda3\lib\subprocess.py", line 364, in check_call
    raise CalledProcessError(retcode, cmd)
subprocess.CalledProcessError: Command '['cmake', '-GNinja', '-DBUILD_PYTHON=True', '-DBUILD_TEST=True', '-DCMAKE_BUILD_TYPE=Release', '-DCMAKE_GENERATOR=Ninja', '-DCMAKE_INCLUDE_PATH=C:\\Users\\Admin\\Downloads\\Pytorch\\mkl\\include', '-DCMAKE_INSTALL_PREFIX=C:\\Users\\Admin\\Downloads\\Pytorch\\pytorch\\torch', '-DCMAKE_PREFIX_PATH=C:\\Users\\Admin\\anaconda3\\Lib\\site-packages', '-DJAVA_HOME=C:\\Users\\Admin\\AppData\\Local\\Programs\\AdoptOpenJDK\\', '-DPYTHON_EXECUTABLE=C:\\Users\\Admin\\anaconda3\\python.exe', '-DPYTHON_INCLUDE_DIR=C:\\Users\\Admin\\anaconda3\\include', '-DPYTHON_LIBRARY=C:\\Users\\Admin\\anaconda3/libs/python38.lib', '-DTORCH_BUILD_VERSION=1.8.0a0', '-DUSE_NINJA=ON', '-DUSE_NUMPY=True', 'C:\\Users\\Admin\\Downloads\\Pytorch\\pytorch']' returned non-zero exit status 1.

So, how to fix the following?

UserWarning: mkl-service package failed to import, therefore Intel® MKL initialization ensuring its correct out-of-the box operation under condition when Gnu OpenMP had already been loaded by Python process is not assured. Please install mkl-service package, see http://github.com/IntelPython/mkl-service
from . import _distributor_init
TensorPipe cannot be used on Windows.  Set it to OFF
“Could not find libuv_tmp_LIBRARY using the following names: uv, libuv”