I found the beginning of the solution: I downloaded Python 2.7 in C:\Python27 and then set the PYTHON variable in Node.js by doing:
set PYTHON=C:\Python27\Python.exe
(for details see Running Python on Windows for Node.js dependencies)
and then relaunched:
npm install superfeedr
The error "gyp ERR! stack Error: Can't find Python executable "python", you can set the PYTHON env variable" does not happen anymore. Good!
But an error message now tells that "Impossible to load the composant Visual C++ "VCBuild.exe"". It asks me: to install development kit Microsoft Windows SDK for Windows Server 2008 and .NET Framework 2.0 3.5, or to install Visual Studio 2008. Then I got the message asking me: to install development kit .NET Framework 2.0 SDK or to install Visual Studio 2005. Which is another problem, I guess...
(see error MSB3411: Could not l oad the Visual C++ component "VCBuild.exe")