I was doing some research on this issue and I think the answer is in the setuptools documentation: http://peak.telecommunity.com/DevCenter/setuptools#non-package-data-files
Next, I quote the extract that I think has the answer:
Non-Package Data Files
The distutils normally install general “data files” to a
platform-specific location (e.g. /usr/share). This feature intended to
be used for things like documentation, example configuration files,
and the like. setuptools does not install these data files in a
separate location, however. They are bundled inside the egg file or
directory, alongside the Python modules and packages. The data files
can also be accessed using the Resource Management API […]Note, by the way, that this encapsulation of data files means that you
can’t actually install data files to some arbitrary location on a
user’s machine; this is a feature, not a bug. You can always include a
script in your distribution that extracts and copies your the
documentation or data files to a user-specified location, at their
discretion. If you put related data files in a single directory, you
can use resource_filename() with the directory name to get a
filesystem directory that then can be copied with the shutil module.
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