在网上搜了下，找到了如下安装顺序：
Install python2.7
wget http://www.python.org/ftp/python/2.7/Python-2.7.tar.bz2
tar xjf Python-2.7.tar.bz2
cd Python-2.7/
./configure
make
sudo make altinstall
Install setuptools
cd ..
wget http://pypi.python.org/packages/source/s/setuptools/setuptools-0.6c11.tar.gz#md5=7df2a529a074f613b509fb44feefe74e
tar xzf setuptools-0.6c11.tar.gz
cd setuptools-0.6c11/
sudo python2.7 setup.py install
aptitude search libmysqlclient
sudo aptitude install libmysqlclient-dev
Install modules (sqlalchemy, mysqldb)
sudo easy_install-2.7 sqlalchemy
sudo easy_install-2.7 mysql-python
不过在make的时候，出现如下错误：
> Failed to find the necessary bits to build these modules: > _bsddb _hashlib _ssl > _tkinter bsddb185 dbm > dl gdbm imageop > sunaudiodev > To find the necessary bits, look in setup.py in detect_modules() for the module's name. > > > Failed to build these modules: > crypt nis
继续网上搜寻解决方案，有人建议试下Python-2.6，试下来，错误相同。
继续搜寻，终于在以下地址找到解决方案。
http://groups.google.com/group/sage-devel/browse_thread/thread/593b9a4124f5075d/07ca2f4247c5b9b1?show_docid=07ca2f4247c5b9b1&fwc=1
大致原因如下：
This is not related to PEP 3149 failures. Ubuntu 11.04 introduced multiarch
directories for the underlying shared libraries used to link to the Python
extension modules. Unpatched, Python's setup.py does not add the necessary
multiarch directories to the search paths, so some extensions won't build.
Ubuntu 11.04's Python packages have been patched to add the correct search
paths. Upstream Python 2.7, 3.1, 3.2, and 3.3 have also been patched to
include the correct search paths, but fixed versions have not been released
upstream yet. Python 2.6 won't be patched.
See issue 11715 for details.
找到了病根，也就好对症下药。拿Python-2.7.2试试，果然OK。
后面到命令都畅通无阻了。
