python-dev installs the headers and libraries for linux, allowing you to
write / compile extensions.
In windows, the standard installer provides this by default. The header
files are in the $installrootinclude directory. The link libraries are
found in $installrootlibs.
For example I've installed python 2.7 into c:python27. This means my
include files are located here: c:python27include. And the link libraries
are in c:python27libs