Boilerplate of a Python module written in C/C++, with OpenMP, for Windows and Linux as Python documentation's example of how to build it didn't work for Windows... (specifically the use of setup.py)
To compile (the current Makefile is configured for Windows), in a shell, type:
make
python setup.py build_ext --inplace
Only the .pyd file (Windows) or .so (for Linux) file is required for using the module in Python.