diff --git a/.appveyor.yml b/.appveyor.yml
index 3a58477c..61af3be4 100644
--- a/.appveyor.yml
+++ b/.appveyor.yml
@@ -4,7 +4,7 @@
 
 environment:
   global:
-    BUILD_COMMIT: 0.22
+    BUILD_COMMIT: 0.22.1
     # SDK v7.0 MSVC Express 2008's SetEnv.cmd script will fail if the
     # /E:ON and /V:ON options are not enabled in the batch script interpreter
     # See: http://stackoverflow.com/a/13751649/163740
@@ -102,6 +102,8 @@ install:
   # Install the build and runtime dependencies of the project.
   - "%CMD_IN_ENV% pip install --timeout=60 numpy==%NP_BUILD_DEP%"
   - "%CMD_IN_ENV% pip install --timeout=60 -r ../appveyor/requirements.txt"
+  - "%CMD_IN_ENV% python setup.py build"
+  - "%CMD_IN_ENV% python ../appveyor/vendor_vcomp140.py"
   - "%CMD_IN_ENV% python setup.py bdist_wheel"
   - ps: "ls dist"
   - "%CMD_IN_ENV% twine check dist/*"
@@ -128,7 +130,7 @@ test_script:
 
 artifacts:
   # Archive the generated wheel package in the ci.appveyor.com build report.
-  - path: dist\*
+  - path: 'scikit-learn\dist\*'
 
 on_success:
   # Upload the generated wheel package to Rackspace
diff --git a/.travis.yml b/.travis.yml
index 29d155d0..9fbe9ec5 100644
--- a/.travis.yml
+++ b/.travis.yml
@@ -1,7 +1,7 @@
 env:
   global:
     - REPO_DIR="scikit-learn"
-    - BUILD_COMMIT=0.22
+    - BUILD_COMMIT=0.22.1
     - PLAT=x86_64
     - UNICODE_WIDTH=32
     - NP_BUILD_DEP="numpy==1.11.0"
diff --git a/appveyor/vendor_vcomp140.py b/appveyor/vendor_vcomp140.py
new file mode 100644
index 00000000..f06bd0d7
--- /dev/null
+++ b/appveyor/vendor_vcomp140.py
@@ -0,0 +1,81 @@
+"""Embed the vcomp dll before generating the scikit-learn Windows wheel.
+
+This script should be run from the root of the scikit-learn source tree,
+after running the `python setup.py build` command and before running
+the `python setup.py bdist_wheel` command.
+"""
+
+import os
+import os.path as op
+import shutil
+from glob import glob
+import textwrap
+
+VCOMP140_SRC_PATH = "C:\\Windows\System32\\vcomp140.dll"
+TARGET_FOLDER_GLOB_PATTERN = "build/lib.*/sklearn"
+
+
+def make_distributor_init(sklearn_dirname, dll_filename):
+    """Create a _distributor_init.py file for the vcomp dll.
+
+    This file is imported first when importing the sklearn package so as
+    to pre-load the vendored vcomp dll.
+    """
+    distributor_init = op.join(sklearn_dirname, '_distributor_init.py')
+    with open(distributor_init, 'wt') as f:
+        f.write(textwrap.dedent("""
+            '''
+            Helper to preload the OpenMP dll to prevent "dll not found"
+            errors.
+            Once a DLL is preloaded, its namespace is made available to any
+            subsequent DLL. This file originated in the scikit-learn-wheels
+            github repo, and is created as part of the scripts that build the
+            wheel.
+            '''
+            import os
+            import os.path as op
+            from ctypes import WinDLL
+
+
+            if os.name == 'nt':
+                # Pre-load the DLL stored in sklearn/.libs by convention.
+                dll_path = op.join(op.dirname(__file__), '.libs', '{}')
+                WinDLL(op.abspath(dll_path))
+
+        """.format(dll_filename)))
+    return op.abspath(distributor_init)
+
+
+def main():
+    # TODO: use threadpoolctl to dynamically locate the right vcomp dll
+    # instead? This would require first in-place building scikit-learn
+    # to make it "importable".
+    if not op.exists(VCOMP140_SRC_PATH):
+        raise ValueError("Could not find %r" % VCOMP140_SRC_PATH)
+
+    if not op.isdir("build"):
+        raise RuntimeError("Could not find ./build/ folder. "
+                           "Run 'python setup.py build' first")
+    target_folders = glob(TARGET_FOLDER_GLOB_PATTERN)
+    if len(target_folders) == 0:
+        raise RuntimeError("Could not find folder matching '%s'"
+                           % TARGET_FOLDER_GLOB_PATTERN)
+    if len(target_folders) > 1:
+        raise RuntimeError("Found too many target folders: '%s'"
+                           % "', '".join(target_folders))
+    target_folder = op.abspath(op.join(target_folders[0], ".libs"))
+
+    # create the "sklearn/.libs" subfolder
+    if not op.exists(target_folder):
+        os.mkdir(target_folder)
+
+    print("Copying '%s' to:\n%s" % (VCOMP140_SRC_PATH, target_folder))
+    shutil.copy2(VCOMP140_SRC_PATH, target_folder)
+
+    # Generate the _distributor_init file in the source tree.
+    print("Generating the '_distributor_init.py' file in:")
+    print(make_distributor_init("sklearn", op.basename(VCOMP140_SRC_PATH)))
+
+
+if __name__ == "__main__":
+    main()
diff --git a/scikit-learn b/scikit-learn
index 7389dbac..c8c21ae1 160000
--- a/scikit-learn
+++ b/scikit-learn
@@ -1 +1 @@
-Subproject commit 7389dbac82d362f296dc2746f10e43ffa1615660
+Subproject commit c8c21ae18a7289d8ae9f837946e1e7f85b0337b8