It looks like Anaconda does not come with the py launcher. Some workarounds are on Python and Windows: Where is the Python launcher?.

The standard 3.x Python installers for Windows (I think from Python 3.3 and onward) have an option to also install the py launcher. See the screenshots below. As far as I know, it is even selected by default.

After that, you can include Python shebang lines as documented, e.g.,

• here: 4.1. Python install manager, or
• if you want to have a shorter version: Multiple versions of Python on Windows

Note that (as explained here):

The launcher is restricted to launching Python scripts. It is not intended as a general-purpose script launcher or shebang processor.

Screenshots:

It should be in the root directory of Python 3.3 installs and higher. It is not available for Python 2.

Go to C:\PythonXX\, and you should find py.exe for your version.

In a Command Prompt or your favorite shell (like Cygwin), run:

py -3.3 -m path/to/myscript.py

However, this only works if you have a 3.3 or higher installed.

Note that Anaconda does not come with Python launcher. However, it will work to set Anaconda as your default install for Python 3.4 and install py.exe separately. For example, you can install Python 3.4 from another source, copy its py.exe to somewhere on the system path, and uninstall Python 3.4 again; then the Python launcher is fully installed.

Better yet, there's a standalone installer available here.