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
Since TDM-GCC 4.6.1 was released in September 2011. TDM-GCC installer will download the lastest GCC version (4.6.1) even though the tdm-gcc-4.5.2.exe is used. GCC 4.6.1 will cause GCC build error "error: unrecognized command line option '-mno-cygwin'" This is because -mno-cygwin become deprecated in GCC 4.6.1. In order to compile ssl package against python 2.5 we need to use GCC version 4.5.2.
After installing TDM-GCC you need to do extra step from the instruction by @BanditoBunny.
3.1 Download gcc-4.5.2-tdm-1-core.zip from http://sourceforge.net/projects/tdm-gcc/files/TDM-GCC%204.5%20series/4.5.2-tdm-1%20SJLJ/gcc-4.5.2-tdm-1-core.zip/download. Unzip the file into the MinGW32 folder.
3.2 Go to the SSL folder then open a command prompt there. Check GCC version (using gcc --version) to make sure it uses version 4.5.2. Then continue with step 4.