Turns out I had OpenFL downloaded but not successfully installed.
I did install haxe to \Program Files(x86)\Haxe
but didn't execute the setup commands with admin rights. If you run into that issue make sure either you got the nessecarry rights when executing:
haxelib install lime
haxelib run lime setup
lime install openfl
Otherwise haxelib run lime setup
won't do anything.
If you get stuck at another point, try the official setup guide.