If you want to have a module generally importable when you use Python, you should add it to a folder on the Python path, rather than modify the path. (Typically, you'll use Python27/lib/site-packages on Windows.)
However, if you're just working with a local file, the best thing to do is to keep it in your working folder: Python will always check the local directory before moving further down the path. In the case of DataNitro, this will be the directory your workbook is in.