I recently have been using a Windows Server 2008 R2 VM, but I also wanted to use Theano in scripts I was using. Rather than creating a virtual machine within my virtual machine (which I could not even do due to exceptions in the virtual environment), I wanted to make use of Theano and figure out what the quickest way to set Theano up would be.
First, install a 32-bit (even if you have a 64-bit system) install of Anaconda for Python 2.7, not any version of Python 3. I recommend using version 2.1 of Anaconda, which can be found via zip files on their site.
Once installed, run "conda install mingw libpython" from the command line. This retrieves resources required for Theano.
Before installing Theano, I suggest installing LAPACK resources. A Windows tutorial on how to do this is here and describes the process better than I would be able to: LAPACK
Theano can be installed in 2 ways. "pip install Theano" installs the current stable branch of Theano, but that branch sometimes updates and breaks Windows installs of Theano when using it. If you try "pip install Theano" and you cannot import Theano without errors/crashing, then I suggest using this alternate method: "pip install git://github.com/Theano/Theano.git" - this installs the bleeding edge dev version of Theano which may not be perfect, which is why this is the alternate method. However, before installing this bleeding edge version you either want to uninstall the Theano you have or upgrade it. "pip uninstall theano" then "pip install git://github.com/Theano/Theano.git" or "pip install git://github.com/Theano/Theano.git --upgrade", respectively.
That should be all you need to get going with Theano.
Why Anaconda? I love Anaconda because I'm a command line fanatic due to constant SSH-ing (most of my editing is done through VIM - shoutout to my automated vimrc creation tool) so I wanted to avoid IDEs. Anaconda packages nice machine learning utilities with it, such as numpy, scipy, and scikit-learn. Additionally, the "conda install" feature is pretty clean and useful.
Sources:
Theano site: http://deeplearning.net/software/theano/install.html
Why 2.1 Anaconda: http://stackoverflow.com/questions/31050976/python-exe-crashes-when-importing-theano
The issue in action: https://groups.google.com/forum/#!topic/theano-users/p77HXTvjNxc
LAPACK resources: http://icl.cs.utk.edu/lapack-for-windows/lapack/index.html#libraries
Theano Github: https://github.com/Theano/Theano
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