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I have run python setup.py install and still have same 
problems with roundup.cgi.  I am reasonably new to python 
so there may be something obvious I am doing wrong - but it 
appears that python cannot import anything from the 
roundup.cgi directory (but importing from, say, 
roundup.backends seems to work ok). The sys.path appears 
to be setup correctly and the roundup/cgi dir exists under 
python installation. Let me know if there is some more info I 
can provide to help solve this problem. Thanks.

C:\>python
Python 2.2.2 (#37, Oct 14 2002, 17:02:34) [MSC 32 bit 
(Intel)] on win32
Type "help", "copyright", "credits" or "license" for more 
information.
>>> from roundup.backends import back_anydbm
>>> from roundup.cgi import client
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
ImportError: No module named cgi
>>>

[above also happens for 2.2.1].