All the answers here are outdated since Python.org doesn’t host installers for older versions of Python anymore, only source code.
And building Python on Windows is not really a walk in the park…
My solution: Pyenv.
It’s crossplatform (Linux, MacOS, Windows: where it’s called pyenv-win), and you can with it automatically install among a very large list of Python versions.
There aren’t ALL python versions existing but the list is already very big.
Installation pf pyenv is quite easy if you use chocolatey.
Then:
pyenv install --list : all the versions that you can install.
and then:
pyenv install 3.9.0 for example.