My python file has "from .. import" statement to package under C:\Python27\Lib\site-packages.
If my file name does not have any extension (e.g. foo ) then  "python foo" works. 
If I rename file from foo to foo.py then the "from .. import" statement to that package fails in foo.py:

try:
    from my_package.System.prefix import ...
except ImportError:
    print "ERROR: Could not import modules."

I have:
 PYTHONPATH=C:\Python27\Lib\site-packages 
 Environment: Windows XP/ Python 2.7
I'm going to make a wild guess here: is your filename the same as the package that you're trying to import (my_package in your example)?
I was able to reproduce behavior similar to what you describe by creating a file, django.py, that contained the import statement from django.db import models.  When I ran python django.py, I got ImportError: No module named db.  When I moved code to a file named django (without a .py extension), deleted the django.pyc file, and ran python django, the import succeeded.
Why Python tries to import the django module, it starts by looking for a django.py file in the directory that contains the program being executed.  In the first case, it imports the django.py file that I created instead of the django module that's installed in site-packages.  In the second case, where I renamed my file django, Python can't find a django.py in the same directory as my file, so it properly import django from site-packages.
python file without extension works, but with .py extension fails to import my module