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Make sure that gcc-4.0 is in your PATH. Also, you can create an alias from gcc to gcc-4.0.
Take care about 32b and 64b versions. Mac OS X is a 64b operating system and you should right flags to make sure you’re compiling for 64b architecture.
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If you’re on Windows, you can use a pre-compiled installer. Check this page for many such installers, including MySQLdb for various Python releases
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