pycurl installation on Windows

I am not able to install pycurl on Windows on Python2.6. Getting following error:

C:\Documents and Settings\vijayendra\Desktop\Downloads\pycurl-7.19.0>python setup.py install --curl-dir="C:\Documents and Settings\vijayendra\Desktop\Downloads\
curl-7.19.5-win32-ssl\curl-7.19.5"
Using curl directory: C:\Documents and Settings\vijayendra\Desktop\Downloads\curl-7.19.5-win32-ssl\curl-7.19.5
Traceback (most recent call last):
  File "setup.py", line 210, in <module>
    assert os.path.isfile(o), o
AssertionError: C:\Documents and Settings\vijayendra\Desktop\Downloads\curl-7.19.5-win32-ssl\curl-7.19.5\lib\libcurl.lib

Any idea what is this error about and how to fix this?

What is PycURL in Python?

PycURL is a Python interface to libcurl, the multiprotocol file transfer library. Similarly to the urllib Python module, PycURL can be used to fetch objects identified by a URL from a Python program.

Andelf's answer didn't work on my Win 7 x64 machine, but Christoph Gohlke's site has a package that works for me.