If you don't already have a C/C++ development environment installed that is compatible with the Visual Studio binaries distributed by Python.org, then you should stick to installing only pure Python packages or packages for which a Windows binary is available.
Fortunately, there are PyCrypto binaries available for Windows: http://www.voidspace.org.uk/python/modules.shtml#pycrypto
UPDATE:
As @Udi suggests in the comment below, the following command also installs pycrypto
and can be used in virtualenv
as well:
easy_install http://www.voidspace.org.uk/python/pycrypto-2.6.1/pycrypto-2.6.1.win32-py2.7.exe
Notice to choose the relevant link for your setup from this list
If you're looking for builds for Python 3.5, see PyCrypto on python 3.5