I've generally found it wise to grab the ISO images for the express editions collection, and save it somewhere in cold storage.
Never have needed to compile Python on Windows, but some modules only support older versions (e.g. 2.4 or 2.5), which is irksome. So it's a good idea to have stuff setup for building extension modules by hand. -- http://mail.python.org/mailman/listinfo/python-list
