I had the same issue and tried all the solutions which I knew, and neither of them worked actually after long research I found the solution for the error as below:
Firstly I tried installing MySQL Connector/C from here
Secondly I tried copying MySQL Connector C 6.1 folder from the Program files/MySQL into the Program files (x86)/MySQL
Please note that you might have to create the MySQL folder if it does not exist in your Program files (x86).
It worked for me, it seems it is for all 64-bit windows, pip or more. Most probably mysqlclient setup script only looks for Program files (x86) folder for some MySQL files for e.g. 'mysql.h' and do not search Program files and since it did not find anything in your Program files (x86) it will raise the error !!