Usually, you have to install a python distribution. On windows, anaconda is better - or miniconda for a lighter install. Test it work as is without R and RStudio
Then you'll have to configure which version of python to use with reticulate using use_* or an environment variable following the doc from reticulate.
If you are familiar with installation fo dev package version (using Rtools on windows), and then want to try dev reticulate version from github, it offers a new help install_miniconda that may be simplify the installation for you. If you never install from github, do not try it, it will be another think to setup. 
remotes::install_github("rstudio/reticulate")
library(reticulate)
install_miniconda()
See dev function doc here