UPDATE: My fork of this script is now obsolete. Many thanks to the upstream author in accepting the changes I made.
This script will be kept for sake of archival, but please use the latest upstream gist.
This downloads standalone MSVC compiler, linker & other tools, also headers/libraries from Windows SDK into portable folder, without installing Visual Studio. Has bare minimum components - no UWP/Store/WindowsRT stuff, just files & tools for native desktop app development.
Run py.exe portable-msvc.py and it will download output into msvc folder. By default it will download latest available MSVC & Windows SDK from newest Visual Studio.