P.S. I had this same error message with Windows 10. Even after clean install.
The file pio.exe did not exist on my hard disks after installation.
After much head scratching, it turned out that my AV (Comodo) had blocked the pio.exe file from being copied! Hope this helps someone else. Solution was just to go to AV settings and unblock that file and it was placed in the same folder as pip.exe and the other files.