Useful, but not necessary step:
When still connected with USB, drag down the top status bar, and you can see the text "Connected as a media device". Click the text, and you can change the connection method from Media device to Camera (PTP) mode. Change the connection type and windows will install yet another bunch of drivers.
The most important step:
Now go to the Settings > Developer Options and enable the developer options by sliding the top most button to right. Now select USB Debugging to be active. Windows will now download the drivers for ADB. Wait for the drivers to be installed and then test the connection.
Test the connection:
Open command prompt and type:
You should see something like:
List of devices attached
And you will see the output from the device.
|Windows has finished installing drivers.|