How do I install Python from source for windows?

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My main issue was actually when trying to run grpc behind an enterprise proxy, I hit an  "Cannot check peer: missing selected ALPN property"

which is logged as an issue at 

https://github.com/grpc/grpc/issues/23172

In 2017 post, https://groups.google.com/g/grpc-io/c/pz5f8PpfzEo

It mentioned to bypass the ALPN check by a custom build.

But it mentioned that installation from source for windows does not work.

https://github.com/grpc/grpc/tree/master/src/python/grpcio

Thus, I try to build the python build from source for windows using MSYS2.

But still met with different errors.

The attempt to build

- C++ using VS on windows (works)

- C++ using MSYS2 on windows (works)

- python on linux (works)

- python on windows (does not works)

If the installation from source for windows does not works, how was the build version of cygrpc.cp37-win_amd64.pyd from pip install being build?