You have to install OpenBLAS in Windows too. Since you don't have Conda you have to get the official binary packages for your Windows version in the releases section of the GitHub project page.

This link explains how to install. Here are the instructions:

There are separate packages for x86-64 and x86. The zip archive contains the include files, static and shared libraries, as well as configuration files for getting them found via CMake or pkg-config. To use these binaries, create a suitable folder for your OpenBLAS installation and unzip the .zip bundle there (note that you will need to edit the provided openblas.pc and OpenBLASConfig.cmake to reflect the installation path on your computer, as distributed they have "win" or "win64" reflecting the local paths on the system they were built on)