I regularly do install a “psychopy stack” on Anaconda, and I cannot really reproduce your problems. To get PsychoPy up and running (without audio and ioHub support), the following commands should be executed from the Anaconda prompt:
conda install wxpython
pip install pyglet psychopy
To get audio support from Pyo, you indeed have to install it manually from a setup file:
http://ajaxsoundstudio.com/downloads/pyo_0.8.0_py2.7_setup.exe
Select the Anaconda base directory as installation target.
This should definitely work, I recently followed this procedure during a workshop and we got PsychoPy to run on 10 computers running all kinds of different Windows versions (7 to 10).
Good luck!
Edit
If you don’t need Pyo, you may also use PyGame for audio playback. Simply do a pip install pygame, and skip the Pyo installation step.