I ran python setup.py install
in a Windows XP console, and it reported as follows:
running install
running build
running build_py
running build_ext
For other people like me on 64 bit windows 7:
Short version: Follow this instructions.
Long version:
Install VC++ 2008 SP1 Express. you can get it from here.
You also need the Windows SDK, specifically the Win7 + Net 3.5 SDK.
Maybe the issue was already solved in your python version, if not get the diff file from the issue page
download patch.py (or any other tool to patch diff files)
if you downloaded the patch.py and diff file in c:\Python27
just run:
python patch-11.01.py vcvars3.diff
Finally install using pip:
pip install pycrypto