conda install pymysql

Downloading and Extracting Packages
icu 58.2                                                                                                        |   0%
yaml 0.1.7##################################################################################################### | 100%

CondaHTTPError: HTTP 000 CONNECTION FAILED for url <https://conda.anaconda.org/conda-forge/win-64/icu-58.2-vc9_0.tar.bz2>
Elapsed: -

An HTTP error occurred when trying to retrieve this URL.
HTTP errors are often intermittent, and a simple retry will get you on your way.

use vpn and in global sheme

or
change the source of conda into domestic mirror