I recently downloaded the xlsxwriter version 0.6.4 and installed it on my computer. It correctly added it to my C:\\Python27\\Lib\\site-packages\\xlsxwri
Even if it looks like the module is installed, as far as Python is concerned it isn't since it throws that exception.
Try installing the module again using one of the installation methods shown in the XlsxWriter docs and look out for any installation errors.
If there are none then run a sample program like the following:
import xlsxwriter
workbook = xlsxwriter.Workbook('hello.xlsx')
worksheet = workbook.add_worksheet()
worksheet.write('A1', 'Hello world')
workbook.close()