I created the following batch file: jupyter_nn.bat. Inside file I have:

cd "C:\My_favorite_path"
activate neuralnets
jupyter notebook

So the goal is to activate conda virtual environment and start jupyter notebook. For some reason this does not work. Window immediately shuts down. If I run this batch file from cmd, it only executes activate neulranets. I already tried pause and pause>nul and other voodoo dances. Any suggestions? Also this is for Windows 7.

You need to add CALL before the activate. Since activate is another batch script, unless you CALL it, the whole process will exit. See here for more explanation: How to run multiple .BAT files within a .BAT file

cd "C:\My_favorite_path"
CALL activate neuralnets
jupyter notebook

(You might also need to CALL the Jupyter Notebook)