For the following users who need to create sip (or pyqt) in windows using sources
ALL of these instructions are for 32 bits; they will work even if you have a 64-bit system.
For Qt 5.9.x:
Since Qt 5.9, only one version of Qt is available for Windows, which includes pre-built components for MSVC201x and MinGW.
Instructions follow the same steps as for Qt 5.8
Since Microsoft Visual Studio 2015 Community Edition is not available for download, the following users should use Microsoft Visual Studio 2017 Community Edition with Qt 5.9 and follow the same instructions below.
When installing Qt, make sure that you select the correct pre-built components that you have (for example, Microsoft Visual Studio 2017).

For Qt 5.8 and earlier:
Downloads
(if you also have python 2.7, be sure to use python version 3)
Download sources for sip and PyQt5: in the "Source packages" section, download "Windows source"
Microsoft Visual Studio 2015 Community Edition (32-bit)
Qt 5.8.0 for Windows 32-bit (VS 2015, 1.0 GB)
The Qt download link must match the installed version of Visual Studio (VS) (here VS 2015) and the version of PyQt5 that you need to install
For instance:
- PyQt5.8.2
- Qt5.8.0 (link for VS 2015)
- Microsoft Visual Studio 2015
Compilation
Open a terminal and stay on it.
It is important that you stay on the same terminal ( cmd.exe ) throughout the process, so you do not need to double-provision the environment.
Let me create an environment for compiling PyQt and SIP (to compile PyQt you need to compile sip first)
- Create a compilation folder on the desktop, for example:
- Extract the contents of your sip archive in this forlder
- Extract the contents of your PyQt5 archive in this forlder
Now you need:
. โโโ compilation | โโโ sip-4.19.2/ | โโโ PyQt5_gpl-5.8.2/
Make sure you are using Python 3.x:

1 - SIP
Go to the sip-4.19.2 folder and run:
python configure.py

At this point you did not install sip, you only configured it (basically its installation directory, etc.)
VERY IMPORTANT STEP: specify the environment variables running in the terminal:
Keep double quotes, windows don't like spaces ...

"C:\Qt\Qt5.8.0\5.8\msvc2015\bin\qtenv2.bat"
After running this command, it will automatically change your current directory, remain on the terminal and go to the sip-4.19.2 directory and start:
"C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\vcvarsall.bat"
In windows, "make" is replaced by "nmake"!
Then (always in the same terminal) you run:
nmake

[...]

nmake install

This will create the sip.exe file in your Python directory, for me it is C:\Python36 , it may be in another place, depending on where you installed Python.
2 - PyQt5
The steps are almost the same as sip, but it will take longer.
Go to the PyQt5_gpl-5.8.2 folder and run:
python configure.py --disable QtNfc --confirm-license
Please note that this command disables QtNfs due to a compilation problem that I could not solve .. and automatically accepts the license.
Then run (compilation will take some time):
nmake nmake install
Hope this helps.