The instructions in the official Python documentation worked for me: https://docs.python.org/2/using/windows.html#executing-scripts
Launch a command prompt.
Associate the correct file group with .py scripts:
assoc .py=Python.File
Redirect all Python files to the new executable:
ftype Python.File=C:\Path\to\pythonw.exe "%1" %*
The example shows how to associate the .py extension with the .pyw executable, but it works if you want to associate the .py extension with the Anaconda Python executable. You need administrative rights. The name "Python.File" could be anything, you just have to make sure is the same name in the ftype command. When you finish and before you try double-clicking the .py file, you must change the "Open with" in the file properties. The file type will be now ".py" and it is opened with the Anaconda python.exe.