It seems that Python 2.6.1 doesn't compile bz2 library by default from source.
I don't have lib-dynload/bz2.so
What's the quickest way to add it (without installing Python from scratch)?
OS is Linux 2.4.32-grsec+f6b+gr217+nfs+a32+fuse23+tg+++opt+c8+gr2b-v6.194 #1 SMP Tue Jun 6 15:52:09 PDT 2006 i686 GNU/Linux
IIRC I used only --prefix flag.
If you happen to be trying to compile Python on RHEL5 the package is called bzip2-devel, and if you have RHN set up it can be installed with this command:

yum install bzip2-devel

Once that is done, you don't need either of the --enable-bz2 or --with-bz2 options, but you might need --enable-shared.
Python's bz2 module not compiled by default