Just do pip install python-memcached and you should be good.
As for installing memcached itself, it depends on the platform you are on.
- Windows – http://pureform.wordpress.com/2008/01/10/installing-memcache-on-windows-for-php/
- OS X –
brew install memcached - Debian/Ubuntu –
sudo apt-get install memcached
On OS X/Linux, just run memcached in the command line.