You need repoze.who to get the examples working, can be gotten through 
easy_install

    easy_install repoze.who

Or from the PyPi site if you prefer to do it that way.
You should get the latest version, which is right now 1.0.18 .

You also need xmlsec, which you can find here:

    http://www.aleksey.com/xmlsec/

Apart from that a normal
    
    python setup.py install

will install the package.