It should be in the root directory of Python 3.3 installs and higher. It is not available for Python2.
Go to C:\PythonXX\ and you should find py.exe for your version.
In 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.
where pyin cmd