try
pip install pyshp
in your cmd.
that is the name of you library as far as I can see, see https://pypi.python.org/pypi/pyshp
conda only works for these http://docs.continuum.io/anaconda/pkgs.html packages.
For the ones not in the list you need to use pip install. It can be confusing as the name of the library on pypi (this is where pip goes to download it) is often, but not always the same as the import name, so if conda and pip don't work, first try to google to make 100% sure that your library is not on pypi, because most respectable libraries are...