Anaconda comes with the conda
package manager which is designed to handle these kinds of upgrades. Start by updating conda itself to get the most recent package lists:
conda update conda
And then install the version of scikit-learn you want
conda install scikit-learn=0.17
All necessary dependencies will be upgraded as well. If you have trouble with conda on Windows, there are some relevant FAQ here: http://docs.continuum.io/anaconda/faq