The module cvxopt is not part of Anaconda distribution. If you try to run from a terminal:
pip install cvxopt
It is probably because Lapack and Blas are not installed. If it is the case, I suggest to follow the instructions in How to install Blas and Lapack. After it is done, the following instruction should run:
pip install cvxopt
On Windows, I suggest to go to Unofficial Windows Binaries for Python Extension Packages.