OpenAI's baselines does not provide an official support for Windows.
Simply running pip install baselines
will result in
-Failed building wheel for atari-py
However, atari-py is the only part of gym causing problems. Luckily, you can easily install a precompiled atari-py. Follow these steps:
pip install baselines
to install all requirements apart from gym. This will result in the above error, but just proceedpip install --no-index -f https://github.com/Kojoley/atari-py/releases atari_py
pip install baselines