I recently installed cx_Oracle module on my machine, in order to connect to a remote Oracle database server. (I have no Oracle client at my side).
I cannot comment yet :-( but for uniquephase above, you may want to try to check the permissions of the .exe and .dlls to make sure they are executable?
So the steps I needed to do to get it working.
Unzip the instant client from here. http://www.oracle.com/technetwork/topics/winx64soft-089540.html
chmod +x *.exe *.dll (I am using cygwin).
For completeness, I couldnt get cx_oracle to install via pip using cygwin.
So I had to use standard dist python (non-cygwin) and installed cx_oracle via the windows installer.
Also, I had to add f:/opt/instantclient_12_1 (location where I installed the Oracle instant client) to the Windows path (via System->Advanced System Properties->Environment Variables->System Variables).