diff --git a/sklearn/test_setup.py b/sklearn/test_setup.py
new file mode 100644
index 0000000000000000000000000000000000000000..5e6e7e833e38183c5904b484c6f3f2058fc3267f
--- /dev/null
+++ b/sklearn/test_setup.py
@@ -0,0 +1,11 @@
+"""
+Fixtures for the tests.
+
+This module gets loaded by test discovery scanners (such as nose) in
+their collection scan.
+"""
+
+import os
+if os.name.startswith('win'):
+    # During the tests, under Windows, we don't want any multiprocessing
+    os.environ['JOBLIB_MULTIPROCESSING'] = 0