firstly, I would like to highlight that this is the way questions should be asked in this forum 
A clear description what system and versions you are using, what you have already tried and what exactly is the problem in your case.
Good job! 
As you are using the latest version of sen2cor it’s not an issue of outdated resources.
Some people were lucky with opening the command line with administrator privilleges and then installing sen2cor. (explained here)
A second thing you can try is to place the full path of your python installation into your PYTHON_BIN variable. It can be found under Manage external tools > sen2cor - Edit > System variables. Maybe a wrong python version is addressed. (explained here)
Lastly, you could check if glymur is listed in your site-packages under C:\Anaconda2\lib\site-packages (or your custom installation path respectively). If not, there is a version mismatch between different python installations.