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.
Use your vendor's package management to add the package that contains the development files for bz2.  It's usually a package called "libbz2-dev".  E.g. on Ubuntu
sudo apt-get install libbz2-dev
Python's bz2 module not compiled by default