I recently had to port a linux based python project to a windows platform. The python project makes use of the sqlalchemy framework and thus required the MysqlDb module too. Windows platform has python 2.5 and after searching for a while i realised that the python and mysql dudes seem to be taking their time to intergrate the 2. luckily some german dudes have a solution. If you ever have to use python with mysql under windows try this link.
http://biohackers.net/wikiattach/Python2(2e)5/attachments/MySQL-python.exe-1.2.1_p2.win32-py2.5.exe