Fix our algo to find MKL with Canopy on windows.

theano/tensor/blas.py

@@ -209,7 +209,16 @@ def default_blas_ldflags():
             p = os.path.join(sys.base_prefix, "..", "..", "appdata")
             assert os.path.exists(p), "Canopy changed the location of MKL"
             p2 = os.listdir(p)
-            assert len(p2) == 1, "Canopy changed the location of MKL"
+            subsub = 'lib'
+            if sys.platform == 'win32':
+                subsub = 'Scripts'
+            # Try to remove subdir that can't contain MKL
+            for sub in p2:
+                if not os.path.exists(os.path.join(p, sub, subsub)):
+                    p2.remove(sub)
+            assert len(p2) == 1, ("Canopy changed the location of MKL",
+                                   p, p2, [os.listdir(os.path.join(p, sub))
+                                           for sub in p2])
             if sys.platform == "linux2":
                 p2 = os.path.join(p, p2[0], "lib")
                 assert os.path.exists(p2), "Canopy changed the location of MKL"