1. open a command shell
2. run vcvars32.bat if you need to (I didn't)
3. make sure the Python version you are targeting is on the PATH (if you
don't know how, see the MinGW tutorial)
4. "python setup.py bdist_wininst" or "python setup.py bdist_msi"
5. pick up the installer in the build\ directory.
Note: bdist_msi is only available in Python 2.5 and
later.
You need VC6 if you want to compile extensions for
Python 1.5-2.3
and VC7.1 for Python 2.4 and later.
(given to me by M.-A. Lemburg on c.l.py and edited per my experience)