[Python] Python: Could not install packages due to an OSError: [Errno 2] No such file or...

I try to use pip to install sklearn, and I receive the following error message:

ERROR: Could not install packages due to an OSError: [Errno 2] No such file or directory: 'C:\Users\13434\AppData\Local\Packages\PythonSoftwareFoundation.Python.3.7_qbz5n2kfra8p0\LocalCache\local-packages\Python37\site-packages\sklearn\datasets\tests\data\openml\292\api-v1-json-data-list-data_name-australian-limit-2-data_version-1-status-deactivated.json.gz'**.
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