For those who wish a "clean" cmd shell and based on Eryk Sun's answer. Create a *.bat file with:
echo off
cls
"%windir%\System32\cmd.exe" /k ""C:\ProgramData\Anaconda3\Scripts\activate.bat" "C:\ProgramData\Anaconda3" && python "C:\Users\...path_to_your_file\...\your_script.py" && exit"
This will provide a *.bat file that closes once the python script is done. Paths are the defaults as found when installing Anaconda without further input. The first path is identical to the one found in the "Anaconda Prompt" shortcut in the star menu and can be accessed via the shortcut's properties.
For those who do not wish to have a *.bat script it is possible to create a desktop (or wherever) shortcut *.lnk by right-clicking "New -> Shortcut" to the desired *.py file.
Then right click on the *.lnk file and change the target to:
%windir%\System32\cmd.exe /k ""C:\ProgramData\Anaconda3\Scripts\activate.bat" "C:\ProgramData\Anaconda3" && python "C:\Users\...path_to_your_file\...\your_script.py" && exit"
this should provide you with a direct shortcut to launch your python script. Please note the """, that enclose the subsequent commands.