You should always run the setup command from the distribution root directory, i.e. the top-level subdirectory that the module source distribution unpacks into. For example, if you've just downloaded a module source distribution foo-1.0.tar.gz onto a Unix system, the normal thing to do is:
gunzip -c foo-1.0.tar.gz | tar xf - # unpacks into directory foo-1.0 cd foo-1.0 python setup.py install
On Windows, you'd probably unpack the archive before opening the command prompt. If you downloaded the archive file to C:\Temp, then it probably unpacked (depending on your software) into C:\Temp\foo-1.0; from the command prompt window, you would then run
cd c:\temp\foo-1.0 python setup.py install
On Mac OS, ... ** again, how do you run Python scripts on Mac OS? **
** arg, my lovely ``bslash'' macro doesn't work in non-tt fonts! help me LATEX, you're my only hope... **