Install vim-powerline fonts

powerline.md

git clone --recursive https://github.com/powerline/fonts/
fonts/install.sh &
fc-cache -v -f

Setting the font automatically is OS-dependent and for once it's not Windows that is the problem

if has("gui_gtk2")
    set guifont=Anonymous\ Pro\ for\ Powerline\ 11
elseif has("gui_macvim")
    set guifont=Anonymous\ Pro\ for\ Powerline:h11
elseif has("gui_win32")
    set guifont=Anonymous\ Pro\ for\ Powerline:h11
end