How do I install PyCrypto on Windows?

If you don't already have a C/C++ development environment installed that is compatible with the Visual Studio binaries distributed by Python.org, then you should stick to installing only pure Python packages or packages for which a Windows binary is available.

Fortunately, there are PyCrypto binaries available for Windows:http://www.voidspace.org.uk/python/modules.shtml#pycrypto

UPDATE:
As @Udi suggests in the comment below, the following command also installs pycrypto and can be used in virtualenv as well:

easy_install http://www.voidspace.org.uk/python/pycrypto-2.6.1/pycrypto-2.6.1.win32-py2.7.exe

Notice to choose the relevant link for your setup from this list

If you're looking for builds for Python 3.5, see PyCrypto on python 3.5

Microsoft has recently recently released a standalone, dedicated Microsoft Visual C++ Compiler for Python 2.7. If you're using Python 2.7, simply install that compiler and Setuptools 6.0 or later, and most packages with C extensions will now compile readily.

After years and years, python finally agreed for a binary disribution called wheel which allows to install even binary extensions on Windows without having a compiler with simple pip install packagename. There is a list of popular packages with their status. Pycrypto is not there yet, but lxml, PySide and Scrapy for example.

Edited Nov 2015: pip uninstall pycrypto & pip install pycryptodome. It is a pycrypto fork with new features and it supports wheel. It replaces pycrypto, so existing code will continue to work (see https://pycryptodome.readthedocs.org/en/latest/src/examples.html)