It seems that you installed sklearn in the wrong way. To install sklearn for 
usage with sage do:

sage -sh

To start a shell wich is configered so that all sage directories and binaries 
and the sage python are in your path. And then do whatever the sklearn 
documentation sais you should do.

We cannot help you much more then this since we are not the sklearn mailinglist 
and hence have no detailed knowledge how to install sklearn properly. 

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