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.