I'm trying to determine which files in the Python library are strictly necessary for my script to run. Right now I'm trying to determine where _io.py is located. In io.py (no underscore), the _io.py module (with underscore) is imported on line 60.
Try the DLLs folder under your base python install directory if you are on windows.  It contains .pyd modules Ignacio mentions.  I had a similar problem with a portable install.  Including the DLLs folder contents to my install fixed it.  I am using python 2.5.
Python: import _io