Source

pycurl / INSTALL

You need Python and libcurl version 7.8 or greater installed on your
system to use pycurl.

To build pycurl for Python 1.5.2 you also need the distutils package,
which you can download from:
	
	http://www.python.org/sigs/distutils-sig/download.html

Assuming that distutils is installed (which it is by default on Python
versions above 1.5.2) build and install pycurl with the following
commands:

	(if necessary, become root)
	tar -zxvf pycurl-$VER.tar.gz
	cd pycurl-$VER
	python setup.py install

$VER should be substituted with the version number, e.g. 0.3.0.

You can also install by hand which does not require distutils.  Edit
the 'src/Makefile' in the distribution directory to suit your setup.
Type 'make' and copy the file 'src/curlmodule.so' to the site-package
directory of your Python installation (for example
/usr/lib/python2.0/site-packages).

NOTE: I have not tried to build pycurl on Windows, but I assume this
can be done with minimal efforts using the distutils approach.