Obviously, the module gyp.py is not in the search path of modules (sys.path). sys.path is an array variable in sys module which contains all known paths of the modules. You can add the directory containing the module gyp.py manually by either of these methods:
set via PYTHONPATH environment variable (see http://docs.python.org/3/using/cmdline.html?highlight=path#envvar-PYTHONPATH)
Add the path manually within your python script prior to importing gyp. For example, if the directory containing this module is /home/you/gyp:
import os, sys
sys.path.append('/home/you/gyp')
import gyp
#--------- That's it ------------
You can check if this path already exists using the debug lines
import sys
print(sys.path) # version python 3.2
or
print sys.path # version python 2.7