I am having some hard time getting the Z3 Python frontend to work on Windows 7 with Z3 version 4.3.0 from codeplex. The older version 4.1.2 that was distributed as an MSI file
Visual Studio Express should be enough to compile Z3 and is available for free from Microsoft, here. However, it's not a requirement that Z3 be compiled from scratch to use Z3Py.
Starting with version 4.3.0, the DLL is now called libz3.dll and I just verified that it is indeed included in the download from Codeplex and it executes fine when I add it to PYTHONPATH. I can imagine that what went wrong in your case is that you added the directory C:...\z3-4.3.0-x86 to PYTHONPATH, while it is necessary that C:...\z3-4.3.0-x86\bin be added (note the \bin in the end).