Each Python version uses a specific compiler version. In most cases, you should use the same compiler version for building python extensions.
Currently, the official ONNXRuntime Python wheel (v1.3.0 onwards) hosted on PyPi requires Visual C++ 2019 runtime installed on the target machine.
If the Python wheel is built from source using the build toolset provided with Visual Studio 2017, it will work with the Visual C++ 2017 runtime.
CPython 3.7 is distributed with a VC++ 2017 runtime. Unlike the earlier VC++ version, VC++ 2017 Runtime is binary backward compatible with VC++ 2015. Which means you could build your application with VC++ 2015 then run it with VC++ 2017 runtime.
