You need to download the C code first - it's not part of the exe install. Unzip it and you then have a source tree that will build.
To build it you'll need a C compiler. You need to use the SAME ONE as your Python version for your platform. For example, for Windows and Python 3.5 you need the latest Visual C from Microsoft.
For pyHook you also need SWIG. Use that to construct cpyHook_wrap.c from the supplied cpyHook.i
Then run setup.py and you should be good to go.