If you're pulling a pure python package (like Django, Tornado or requests) then you're golden on any platform python is available for. If you're pulling a python package that contains C bits (like PIL, msgpack-python) then you'll need the compiler toolchain and associated libraries.

Luckily, most such packages (the popular ones at least) can be obtained in other ways (PIL through a win only download, or get a pure-python alternative like msgpack-pure-python).