try this method. this is the best method i have seen so far (Python3)(dont have to compile it yourself).
will work on anaconda, and has scikit-learn wrapper.
1.download xgboost whl file from http://www.lfd.uci.edu/~gohlke/pythonlibs/ (make sure to match your python version and system architecture, e.g. “xgboost-0.6-cp35-cp35m-win_amd64.whl” for python 3.5 on 64-bit machine)
2. open command prompt
3. cd to your Downloads folder (or wherever you saved the whl file)
4. pip install xgboost-0.6-cp35-cp35m-win_amd64.whl (or whatever your whl file is named)
If you find it won’t install because of a missing dependency, download and install the dependency first and retry.
If it complains about access permissions, try opening your command prompt as Administrator and retry.
I found this on stackoverflow and works well in my system