installed windows binary, where to do "sage -i database_odlyzko_zeta"

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The precompiled Sage binaries (for Windows or otherwise) currently do not have the backstage machinery necessary t install an optional (or experimental) Sage package. In order to do this, you need to compile from source.

However, some "Sage" packages are just wrappers for Python packages, which may be installable via sage -pip install <yourpackage>.

HTH,