If I’m not mistaken, you would need the git client to be install on your machine. In the event that you don’t have git installed, try this:
pip install https://github.com/facebook/python-sdk/zipball/master
or
pip install https://github.com/facebook/python-sdk/tarball/master
You need to install the git-core, since the git:// protocol isn’t associated with anything.
sudo apt-get install git-core