I have just installed fancyimpute on windows 10 machine and it was successful. Can you please try running pip command from command prompt in case if you're doing it from pycharm console.
C:\Users\USER>pip install fancyimpute
Collecting fancyimpute
Downloading fancyimpute-0.2.0.tar.gz
Requirement already satisfied: six in c:\python27\lib\site-packages (from fancyimpute)
Collecting knnimpute (from fancyimpute)
Downloading knnimpute-0.1.0.tar.gz
Requirement already satisfied: numpy>=1.10 in c:\python27\lib\site-packages (from fancyimpute)
Requirement already satisfied: scipy in c:\python27\lib\site-packages (from fancyimpute)
Collecting cvxpy (from fancyimpute)
Downloading cvxpy-0.4.11-py2-none-any.whl (379kB)
100% |################################| 389kB 439kB/s
Requirement already satisfied: scikit-learn>=0.17.1 in c:\python27\lib\site-packages (from fancyimpute)
Collecting downhill (from fancyimpute)
Downloading downhill-0.4.0-py2.py3-none-any.whl
Collecting climate (from fancyimpute)
Downloading climate-0.4.6.tar.gz
Collecting theano (from fancyimpute)
Downloading Theano-0.9.0.tar.gz (3.1MB)
100% |################################| 3.1MB 65kB/s
Collecting ecos>=2 (from cvxpy->fancyimpute)
Downloading ecos-2.0.4-cp27-none-win32.whl (44kB)
100% |################################| 51kB 96kB/s
Collecting CVXcanon>=0.0.22 (from cvxpy->fancyimpute)
Downloading CVXcanon-0.1.1.tar.gz (694kB)
100% |################################| 696kB 105kB/s
Requirement already satisfied: toolz in c:\python27\lib\site-packages (from cvxpy->fancyimpute)
Collecting fastcache (from cvxpy->fancyimpute)
Downloading fastcache-1.0.2.tar.gz
Collecting multiprocess (from cvxpy->fancyimpute)
Downloading multiprocess-0.70.5.zip (1.5MB)
100% |################################| 1.5MB 73kB/s
Collecting scs>=1.1.3 (from cvxpy->fancyimpute)
Downloading scs-1.2.7.tar.gz (280kB)
100% |################################| 286kB 107kB/s
Requirement already satisfied: click in c:\python27\lib\site-packages (from downhill->fancyimpute)
Collecting plac (from climate->fancyimpute)
Downloading plac-0.9.6-py2.py3-none-any.whl
Collecting dill>=0.2.6 (from multiprocess->cvxpy->fancyimpute)
Downloading dill-0.2.7.1.tar.gz (64kB)
100% |################################| 71kB 109kB/s
Collecting pyreadline>=1.7.1 (from dill>=0.2.6->multiprocess->cvxpy->fancyimpute)
Downloading pyreadline-2.1.zip (109kB)
100% |################################| 112kB 127kB/s
Building wheels for collected packages: fancyimpute, knnimpute, climate, theano, CVXcanon, fastcache, multiprocess, scs, dill, pyreadline
Running setup.py bdist_wheel for fancyimpute ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\46\9d\78\a49d65bb66557f705de636d1a21f9310993a4342670add3f9e
Running setup.py bdist_wheel for knnimpute ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\66\a0\1c\ed41cf540d0bd6d4ae368e9554b77753da154e7d8974c4435f
Running setup.py bdist_wheel for climate ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\90\1f\17\51ca46dd7c3b0be854c63468b50b3d24c443d149244cc4bb19
Running setup.py bdist_wheel for theano ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\d5\5b\93\433299b86e3e9b25f0f600e4e4ebf18e38eb7534ea518eba13
Running setup.py bdist_wheel for CVXcanon ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\1b\f6\dd\14f66c64621bddd6b92a3cfc995fa2a21b134fcf4122402b30
Running setup.py bdist_wheel for fastcache ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\1b\ce\51\0614c8aaab5c0893ed5a2098a15673a4949cba59cfa04ceace
Running setup.py bdist_wheel for multiprocess ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\28\ef\9f\5cc70b5d92fc4641b68dc23b3583f2b6ec1d153cb71985aeaf
Running setup.py bdist_wheel for scs ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\de\bb\5c\5efaf95dbe8b2a87650a9a1061aeefcd5b16353b98afbac789
Running setup.py bdist_wheel for dill ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\e5\88\fe\7e290ce5bb39d531eb9bee5cf254ba1c3e3c7ba3339ce67bee
Running setup.py bdist_wheel for pyreadline ... done
Stored in directory: C:\Users\USER\AppData\Local\pip\Cache\wheels\9a\c7\45\fd424eb3d7875d7a61221accd593e17c7953ed5ece5ee60be9
Successfully built fancyimpute knnimpute climate theano CVXcanon fastcache multiprocess scs dill pyreadline
Installing collected packages: knnimpute, ecos, CVXcanon, fastcache, pyreadline, dill, multiprocess, scs, cvxpy, theano, downhill, plac, climate, fancyimpute
Successfully installed CVXcanon-0.1.1 climate-0.4.6 cvxpy-0.4.11 dill-0.2.7.1 downhill-0.4.0 ecos-2.0.4 fancyimpute-0.2.0 fastcache-1.0.2 knnimpute-0.1.0 multiprocess-0.70.5 plac-0.9.6 pyreadline-2.1 scs-1.2.7 theano-0.9.0