pip install pymssql
The operation fails with an error:
fatal error C1083: Cannot open include file: 'sqlfront.h': No such file or directory
while looking for a solution, the first results are not really helpful, until you arrive to this helpful one.
In short: I was using python version 3.6, which currently isn't supported with pymssql.
Using python 3.5 instead solves that issue, and the pip install pymssql runs well.
If you're using Anaconda Navigator, it is made even simpler:
In the Environment section, you can add a new environment with your choice of python version. When you're choosing a supported version - 3.5 for example - you will find the pymssql in the packages list and install it from there directly.