Difficult Solution (Building using the C/C++ compiler)
Are you on Windows 32bit or 64bit? Are you specifying the build when you're compiling? For example, do the following in your shell or bash:
python setup.py build --compiler==mingw32
python setup.py install
Easier Solution (Use pre-built binaries)
If you don't have to compile the program, you can use the unofficial Windows binaries from here