In a nutshell, dowload EasyInstall from:

http://peak.telecommunity.com/DevCenter/EasyInstall#installing-easy-install

This now allows you to install python packages (called eggs). Like CPAN for PERL, it automates the download, build and installation process. More importantly, it lets you easily grab the python mechanise package.

easy_install mechanize

Learn more here: http://wwwsearch.sourceforge.net/mechanize/