Had the same problem, searched the web etc. Here this answer:
mysql-python install error: Cannot open include file ‘config-win.h’
It has all the instructions. In short go to this site: https://www.lfd.uci.edu/~gohlke/pythonlibs/#mysqlclient:
At that website you will find
mysqlclient‑1.3.13‑cp36‑cp36m‑win32.whl
mysqlclient‑1.3.13‑cp36‑cp36m‑win_amd64.whl
Download the correct file for your platform.
Then use your downloaded wheels file with pip and you’re done:
pip install c:\mysqlclient‑1.3.13‑cp36‑cp36m‑win_amd64.whl
The https://www.lfd.uci.edu/~gohlke/pythonlibs has lots of lots of compiled libraries to solve the problem of building them from source yourself. They even compile them for python 3.7 🙂
Alternative Solution
You can also download Visual C++ Build Tools and then you should be able to install every (at least to my knowledge) version of mysqlclient with pip.
To do this go to this site: https://www.scivision.co/python-windows-visual-c++-14-required/ there you can find out which version of Build Tools you need and you can also find a link to download the installer. Be aware though Build Tools require more than 4GB of free disk space.