I had same issue with DLL load failed on my Windows machine.
installed oracle client, set variables, ran cx_Oracle-5.1.3-11g.win32-py2.7.exe file.
however when I installed cx_Oracle with easy_setup it fixed the problem.
C:\Python27\Scripts\easy_install.exe cx_Oracle-5.1.3-11g.win32-py2.7.exe