The error message mentions gcc. Have you installed some mingw version?

As of now our windows build is only properly tested with the Visual
Studio C++ compiler from appveyor:

https://ci.appveyor.com/project/sklearn-ci/scikit-learn

I have not tested the build with mingwpy in a while (I am not a
windows user my-self).

The file not found error makes me think that you might need to cd into
the scikit-learn source folder:

!!cd D:\_devs\Python01\scikit_learn\sklearn
!!python setup.py build_ext --inplace

-- 
Olivier
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