http://pypi.python.org/pypi/simplejson
I am just diving into the Python world and want to make a simple twitter application which requires the installation of simplejson
I would recommend EasyInstall, a package management application for Python.
Once you've installed EasyInstall, you should be able to go to a command window and type:
easy_install simplejson
This may require putting easy_install.exe on your PATH first, I don't remember if the EasyInstall setup does this for you (something like C:\Python25\Scripts
).