I was using Python 2.6.5 to build my application, which came with sqlite3 3.5.9. Apparently though, as I found out in another question of mine, foreign key support wasn\'t i
sqlite3 is not a built-in module; it's an extension module (the binary is C:\Python26\DLLs_sqlite3.pyd (on my machine)). A pyd is a DLL with a different filename extension and only 1 entry point. There's also a sqlite3.dll, which contains the SQLite code. python.exe is not linked against either of those, and thus rebuilding python.exe has no point.
The next idea is to go to the pysqlite2 download site, and get the latest Windows installer for Python 2.6. Unfortunately there's no docs about which version of SQLite it contains; one needs to install it and then muck about:
>>> import sqlite3 as standard
>>> from pysqlite2 import dbapi2 as latest
>>> for m in (standard, latest):
... print m.sqlite_version
...
3.5.9
3.6.2
>>>
So, it contains only SQLite version 3.6.2, which doesn't have the real foreign key support that you want.
I suggest that you check the mailing list to see if your question is answered there, and if not ask about the possibility of a Python 2.6 installer containing a later SQLite (e.g. the one included with Python 2.7).