For me the following approach solved the issue (Python 3.5.2; mysqlclient 1.3.9):
c:\Program Files\MySQL\MySQL Connector C 6.0.2\
directory to c:\Program Files (x86)\MySQL\MySQL Connector C 6.1\
pip install mysqlclient
c:\Program Files (x86)\MySQL\MySQL Connector C 6.1\
The issue here is only for x64 bit installation owners, since build script is trying to locate C connector includes in x86 program files directory.