On Linux it's possible to install Anaconda and then use the command "conda install caffe" to install the conda package of Caffe for Linux.
You might comment on that issue and ask if anything has changed in the last year that might make it possible to build a conda package of Caffe for Windows.
That page has binaries you can download and try to run. It lists Anaconda Python as an optional dependency, so it should work with Anaconda.