The Google App Engine Launcher tells me:
WARNING appengine_rpc.py:399 ssl module not found. Without the ssl module, the identity of the remote host canno
Grab the openssl and libgw32c packages from the gnuwin32 project (download the "Developer files"!) and extract them where you installed gnuwin32 - or if you don't have gnuwin32 tools yet, you can extract it anywhere (e.g. "C:\Program Files\gnuwin32"). Enter the gnuwin32 directory in the "setup.py" file (replace "C:\Utils\GnuWin32" in line 154).
Then you can build the ssl module without problems. I tested it myself, using GCC "4.3.2-tdm-2 mingw32" and with the command line setup.py build -cmingw32 (-cmingw32 forces MinGW as I also have Microsoft's compiler installed). Execute setup.py install after the successful build to install ssl.