Some basic setup tips on Windows:
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Start with the latest Anaconda https://www.continuum.io/downloads
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opencv: conda install python=3.5 conda install -c menpo opencv3
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ML libraries: conda install tensorflow pip install keras
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Kinect SDK: https://www.microsoft.com/en-ca/download/details.aspx?id=44561 pip install pykinect2 (^ possible fix needed for 64-bit version: Kinect/PyKinect2#37)
Some basic setup tips on Ubuntu:
# Notepadqq, useful text editor
sudo add-apt-repository ppa:notepadqq-team/notepadqq
sudo apt-get update
sudo apt-get install notepadqq
# Nvidia drivers:
# https://www.nvidia.com/en-us/data-center/gpu-accelerated-applications/tensorflow/