git clone --recursive https://github.com/powerline/fonts/
fonts/install.sh &
fc-cache -v -f
Setting the font automatically is OS-dependent and for once it's not Windows that is the problem
if has("gui_gtk2")
set guifont=Anonymous\ Pro\ for\ Powerline\ 11
elseif has("gui_macvim")
set guifont=Anonymous\ Pro\ for\ Powerline:h11
elseif has("gui_win32")
set guifont=Anonymous\ Pro\ for\ Powerline:h11
end