PyGIMP is part of GIMP (GNU Image Manipulation Program) and can only work in together with it. For Linux distributions it is often found in a different package - but its code lies inside the GIMP code source, and on Windows it is installed alongside GIMP.
As far as I know, the GIMP 2.8 installer for Windows should come with all dependencies (Python interpreter included) for it to work - else all you need to do is to have the dependencies for it to work installed before installing GIMP.
These should be:
Python 2.5, 2.6 or 2.7
Python-gtk
Pycairo
And finally GIMP itself.
Them, you can't just use pygimp as a standalone Python module - it has to be launched from within GIMP to be able to use the program libraries and code. It is relatively easy to create a script that would respond to xmlrpc or similar method, to stay quietly running awaiting requisitions from external scripts to process images with GIMP, tough.