How to install and use CDS API on Windows

You have to go through this procedure once, before you can use the CDS API on Windows

Prerequisites

Have a CDS account. If you don't have an account, please self register at the CDS registration page.
Have Python (and pip) installed on your Windows environment.
1. Download windows installer exe from Python.org download page
2. Run the exe.
3. Screen will be shown to chose the installation option.
4. Uncheck "install for all user" option.
5. Go for the custom installation.
6. On next screen specify the directory path for which your user have full access on the computer (take a note of this as you will need it to set the environment variables).
7. Uncheck "create shortcuts for installed application" option.
8. Make sure "Add python to environment variable" option is Unchecked .
9. Complete the installation.
Add the installation and Script folder path in PATH using set (temporary) or setx (permanent) in a Command Prompt window. This is to make sure that your computer knows where to find the Python interpreter. To do this you will have to modify a setting called PATH, which is a list of directories where Windows will look for programs. Further details and examples are available here. You may choose also to set your environment variables into a batch file (e.g. set-env.bat)
@echo off
set PY_HOME=C:\...\python37
set PATH=%PY_HOME%;%PY_HOME%\Scripts;%PATH%

Login to CDS and copy the 2 line code displayed on this page. The code shows a url and your own uid:API key.
Paste the 2 line code into a %USERPROFILE%\.cdsapirc file, where in your windows environment, %USERPROFILE% is usually located at C:\Users\Username folder). For instructions on how to create a dot file on Windows, please see here.
Install the CDS API client by running the following command in a Command Prompt window: pip install cdsapi (or try pip install --user cdsapi)
Once the CDS API client is installed, it can be used to request data from the datasets listed in the CDS catalogue. It is necessary to agree to the Terms of Use of every datasets that you intend to download. Attached to each dataset download form, the "Show API request" button displays the python code to be used. Examples are also shown here.