The past two days have been a nightmare trying to follow the Theano installation guide for Windows (http://deeplearning.net/software/theano/install_windows.html). Specifically, getting Keras to work with whatever hodgepodge installation of Theano comes out of that tortuous guide.
Buried halfway through the guide is an unclear explanation that installing Anaconda (among other packages) will take care of most of these dependencies (and by unclear I mean it's totally unclear what portion of the above and below guide is covered by taking the Anaconda route). However, by that point my Python/Anaconda directories and my paths were so bloated with all kinds of packages. I eventually got Theano working, but Keras never was able to work. I kept running into all kinds of issues, the last straw being a missing DLL link of some kind. To this day I have no idea what the root cause was.
Then, I found this magical thread with the answer (https://github.com/Theano/Theano/pull/5290).
With the above thread, and specifically this code, I was able to get Keras working.
conda create --yes -n python3test python=3
activate python3test
conda install --yes numpy scipy mkl-service nose sphinx m2w64-gcc libpython
pip install pydot
pip install git+https://github.com/mingwandroid/Theano.git@conda-fixes
python -m theano.misc.check_blas > log-python3.log 2>&1
python -V
rem Python 3.5.2 :: Continuum Analytics, Inc.
python -c "import platform; print (platform.platform())"
rem Windows-8.1-6.3.9600-SP0
python -c "import theano; print(theano.__version__)"
rem 0.9.0dev4.dev-c18e654db3b38c8d31b2cb5d94367e28d62f44aa
deactivate
conda remove --yes --all -n python3test