broken setuptools dependencies

[Mac]

I just tried to set up a Windows box as a client talking to a MySQL
database on Linux using Python.  So I installed the most recent
version of Python (2.6) and then I tried to add the MySQLdb module.
There wasn't any binary pre-built for Python 2.6 on Windows (or any
other OS), so I pulled down the tarball, unpacked it, and ran setup.py
install.  That blew up because it couldn't find the version of
setuptools that it needed on the cheeseshop.python.org server.

I have to say that I find all the different packaging installation
options more than a little confusing (wasn't Perl supposed to be the
language that gave you more ways to do something than you really
wanted?), and I find myself wondering why the standard distribution of
Python doesn't come with everything you need to install a third-party
package.  That would come closer to the "batteries included" paradigm
the community likes to advertise.

Grrr.