If you haven't made any changes to config files within the Packages/SublimeREPL
directory, try erasing/backing it up, and running the following in the Packages
directory:
git clone git://github.com/wuub/SublimeREPL.git
to get the absolute latest version. Assuming you have IPython set up properly on your system, you should be able to choose Tools -> SublimeREPL -> Python -> Python - IPython
and have it run fine. Make sure you have the latest build of Sublime Text 2. I have it set up at work on WinXP with ST2 Build 2220, IPython 0.13.2, and the latest versions of NumPy and matplotlib/pylab, and it works like a charm.
If this still doesn't work, let me know and I'll try and walk you through it...