For user-defined classes, setting an attribute on an object is actually modifying an dictionary of attributes, so you can add a new entry at any time. (Object's __dict__)
Attributes on built-in types are implemented differently, not as generic dictionary but directly as the memory layout of the underlying implementation. Because the dictionary does not exist, and the class cannot be changed at runtime, you cannot add new attribute values to built-in objects.
Please see:
http://webcache.googleusercontent.com/search?q=cache:z4to2IGbKDUJ:www.velocityreviews.com/forums/t593269-cant-set-attributes-of-built-in-extension-type.html+setattr+built+in+class&cd=3&hl=en&ct=clnk&gl=us&client=firefox-a&source=www.google.com
http://mail.python.org/pipermail/python-dev/2008-February/077180.html
http://mail.python.org/pipermail/python-list/2010-April/1240731.html
