cp33 means CPython 3.3 you need scipy‑0.15.1‑cp27‑none‑win_amd64.whl instead.
This can also be caused by using an out-of-date pip with a recent wheel file.
I was very confused, because I was installing numpy-1.10.4+mkl-cp27-cp27m-win_amd64.whl (from here), and it is definitely the correct version for my Python installation (Windows 64-bit Python 2.7.11). I got the “not supported wheel on this platform” error.
Upgrading pip with python -m pip install –upgrade pip solved it.