python setup.py install
You may need administrator privileges for step 5. What you do here thus depends on your operating system. For example in Ubuntu you would say sudo python setup.py install
EDIT- thanks to kwatford (see first comment)
To bypass the need for administrator privileges during step 5 above you may be able to make use of the --user flag. In this way you can install the package only for the current user.
The docs say:
Files will be installed into subdirectories of site.USER_BASE (written as userbase hereafter). This scheme installs pure Python modules and extension modules in the same location (also known as site.USER_SITE). Here are the values for UNIX, including Mac OS X:
More details can be found here: http://docs.python.org/2.7/install/index.html