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Building PyMC from source on Windows
Windows users often run into difficulties building PyMC from source, and because the developers tend not to work on this platform, we usually cannot provide much detailed advice. However, Nick Larson, a user on the mailing list, has shared the steps that he took to get PyMC built on his Windows system:
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Install Python 2.6 (I couldn't get a working version of PyMC in 2.5)
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Install Numpy
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Install Git
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Install MinGW (I just opted to install all the compilers just to be safe)
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Install MSYS
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Add C:Python26 to 'Path' environment variable (easily done with right clicking on My Computer -> Properties -> Advanced). Also, make sure to edit the PYTHONPATH environment variable if it exists to point toward 'C:Python26'
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Create a distutils.cfg file in 'C:Python26Libdistutils' (just use notepad) that reads:
[build] compiler = mingw32
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Use git to clone the repository as described from the Git Bash:
git clone git://github.com/pymc-devs/pymc.git
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Open up the command prompt (run cmd), navigate to the folder, and run 'python setup.py bdist_wininst' and run the compiled executable in the dist folder.