How to import OpenSSL in python
From the tests:
from OpenSSL import SSLResponse to the edit: pip install pyopenssl should have installed six. If you're trying to install yourself, I'd not do this, but you can install the dependencies manually using pip install six cryptography and then your import should work fine. If not, leave a comment and I'll do some further investigation.
Response to comment: There are instructions on installing pip on windows.