When I compiled Python using PCBuild\build.bat I discovered that several Python external projects like ssl, bz2, ... were not compiled because the compiler did not find them. 
I did run the Tools\Buildbot\external.bat and it did download them inside \Tools\ but it looks that the build is not looking for them in this location and the PCBuild\readme.txt does not provide the proper info regarding this.
In case it does matter, I do use VS2008 and VS2010 on this system.
Example:

Build log was saved at "file://C:\dev\os\py3k\PCbuild\Win32-temp-Release\_tkinter\BuildLog.htm"     
_tkinter - 2 error(s), 0 warning(s)                                                                 
Build started: Project: bz2, Configuration: Release|Win32                                           
Compiling...                                                                                        
bz2module.c                                                                                         
..\Modules\bz2module.c(12) : fatal error C1083: Cannot open include file: 'bzlib.h': No such file or
 directory
Tools\buildbot\external.bat must be run from py3k root, not from Tools\buildbot\ subdir as you did. Also to build release version of python with Tkinter support you have to edit or copy Tools\buildbot\external.bat to remove DEBUG=1 so it can build tclXY.dll/tkXY.dll (without -g suffix).
How to compile Python with all externals under Windows?