Where to get "ffi.h" file?

How are you building python? Have you been following these instructions? https://cpython-core-tutorial.readthedocs.io/en/latest/build_cpython_windows.html

No, I used https://devguide.python.org/setup/ guide. I have downloaded the latest version of Visual Studio 2019 and evaluated in PowerShell "PCBuild\build.bat". After this, I opened "PCBuild\pcbuild.sln" and trying to build "python" solution and run it. Instead of successful build, the build broked.

Did running PCbuild/build.bat successfully download dependencies to the `externals` directory?

In command prompt, I see the following, with comments added.

f:\dev\3x>PCbuild\build.bat -e
  # -e should not be needed, but explicitly says to build externals
Using py -3.7 (found 3.7 with py.exe)
  # You must have an installed python to build python.
Fetching external libraries...
  # There are 4.
bzip2-1.0.6 already exists, skipping.
  # You should see something about fetching.
...
Fetching external binaries...
  # There are 3
libffi already exists, skipping.
  # Again, you should see something about fetching.
  # Although the .c files are not downloaded, the include files, including ffi.h, are, in externals/libffi/(win32|amd64)/include.

I personally have not used PCBuild\pcbuild.sln for years, since Zach added a fully functional build.bat.  After running the resulting binary, I pin the icon to the taskbar, so I can easily run freshly compiled python interactively without blocking the command window.  The pinned icon remains valid after re-compiles, which I do often.

I'm unable to reproduce the problem.  If you're still having issues, please reopen the issue with more details about what exactly you did and the error(s) you saw (preferably copied and pasted into a message).