After downloading hdf5-1.8.12-win32-vs10shared.zip and installing (adds dir to PATH) there is still no hdf5dll18.lib and hdf5_hldll.lib available. So
python3 setup.py install
fails (python3 is my rename). My h5py is from github.
Workaround:
Copying hdf5.lib and hdf5_hl.lib to the root of the h5py clone and renaming to the wanted files helped.