Activate miniconda environment (my environment is called py3):

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source activate py3

Produce initial steps from the readme:

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cd examples
mkdir build
cd build
cmake ..
cmake --build . --config Release

inside function build_dlib() of file setup.py add the highlighted code:

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if platform_arch == '64bit' and sys.platform == "win32":
    # 64bit build on Windows

#.................. bla bla ...................

    for ext in [py_ver.replace(".", "") + '.lib', py_ver + 'mu.lib', py_ver + 'm.lib', py_ver + 'u.lib']:
        py_lib = os.path.abspath(os.path.join(inc_dir, '../libs/', 'python' + ext))
        if os.path.exists(py_lib):
            cmake_extra_arch += ['-DPYTHON_LIBRARY={lib}'.format(lib=py_lib)]
            break
else:
    cmake_extra_arch += ['-DPYTHON_LIBRARY=/home/user/miniconda/envs/py3/lib/libpython3.so']
    cmake_extra_arch += ['-DPYTHON_INCLUDE_DIR=/home/user/miniconda/envs/py3/include/python3.5m']


build_dir = os.path.join(script_dir, "./tools/python/build")
#......................bla bla.....................................

Replace /home/user/miniconda by your path to miniconda

Run python setup.py install (as usual)