I am trying to install MySQLdb package. I found the source code here.
I did the following:
gunzip MySQL-python-1.2.3c1.tar.gz
tar xvf MySQL-python-1.
If MySQLdb's now distributed in a way that requires setuptools, your choices are either to download the latter (e.g. from here) or refactor MySQLdb's setup.py to bypass setuptools (maybe just importing setup and Extension from plain distutils instead might work, but you may also need to edit some of the setup_*.py files in the same directory).
Depending on how your site's Python installation is configured, installing extensions for your own individual use without requiring sysadm rights may be hard, but it's never truly impossible if you have shell access. You'll need to tweak your Python's sys.path to start with a directory of your own that's your personal equivalent of the system-wide site pacages directory, e.g. by setting PYTHONPATH persistently in your own environment, and then manually place in said personal directory what normal installs would normally place in site-packages (and/or subdirectories thereof).