
I was very impressed with the quality of the Windows packages for the dependencies. When I tried this about a year ago it didn't appear they were all supported. They are now:
Python
* python-2.5.2.msi
Setuptools
* setuptools-0.6c8.win32-py2.5.exe
GTK
* gtk-2.12.9-win32-2.exe
PyGTK
* gtk-2.12.9-win32-2.exe
* pygobject-2.14.1-1.win32-py2.5.exe
* pycairo-1.4.12-1.win32-py2.5.exe
* pygtk-2.12.1-2.win32-py2.5.exe
Python Imaging Library
* PIL-1.1.6.win32-py2.5.exe
PyOpenGL
* PyOpenGL-3.0.0b1.win32.exe
PyGtkGLExt
* pygtkglext-1.1.0.win32-py2.5.exe
Gnome Games
* gnome-games-2.23.1.tar.bz2