This is what I tried:
$ easy_install-2.6 -d /home/user/lib/python2.6 MySQLdb Searching for MySQLdb Reading http://pypi.python.org/simple/MySQLdb/ Couldn\'t
Adam is right but before you run easy_install MySQL-python you need to make sure python-dev is installed as it is not installed by default.
easy_install MySQL-python
python-dev
Install is with apt-get install python-dev.
apt-get install python-dev