I installed psycopg2 in virtualenv using easy_install psycopg2. I did not see any errors and looks like installation went fine.. there is an egg file created in
easy_install psycopg2
Have you checked that PostgreSQL's 'bin' directory is on the system path? Check with a quick typing of 'set' and see what you get.
This is the most common cause of import failures of psycopg2 on Windows.