diff --git a/appveyor.yml b/appveyor.yml
index 643d6f17d9..e662bea937 100644
--- a/appveyor.yml
+++ b/appveyor.yml
@@ -4,5 +4,8 @@ environment:
   global:
     PLATFORMTOOLSET: "v140"
 
+install:
+- call ci\appveyor_install.bat
+
 build_script:
-- ci\build0.bat
+- call ci\build0.bat
diff --git a/ci/appveyor_install.bat b/ci/appveyor_install.bat
new file mode 100755
index 0000000000..c4bcaf7e8b
--- /dev/null
+++ b/ci/appveyor_install.bat
@@ -0,0 +1,42 @@
+:: Good documentation for Windows batch files:
+:: https://ss64.com/nt/
+::
+:: Write the script between the two horizontal lines (`--------------`).
+:: Put `call :check` after each command. This will ensure that if the command
+:: fails, then the script will abort immediately with a nonzero exit code.
+:: Doing that makes it equivalent to `set -e` in Bash.
+::
+:: Enable echo (equivalent of `set -x` in Bash)
+@echo on
+:: Inherit all current variables from the master environment
+setlocal
+::
+:: -----------------------------------------------------------------------------
+
+set CONDA_INSTALL_LOCN=C:\\Miniconda36-x64
+call :check
+
+call %CONDA_INSTALL_LOCN%\Scripts\activate.bat
+call :check
+
+call conda config --set always_yes yes --set changeps1 no
+call :check
+call conda info -a
+call :check
+call conda update -q conda
+call :check
+call conda install python=3.7 pytest llvmlite prompt_toolkit
+call :check
+pip install antlr4-python3-runtime
+call :check
+
+:: -----------------------------------------------------------------------------
+:: End of script. We exit the script now.
+goto :eof
+
+:: Function definitions
+:check
+if errorlevel 1 (
+    echo "Non zero exit code returned, aborting..."
+    (goto) 2>nul & endlocal & exit /b %errorlevel%
+)