Using the excellent instructions at ShowMeDo Jack Atkinson, I built a version of both Gvim and Vim for Windows with support for Python 2.5 and for Python 2.6.
Python 2.4: Support is already built-in in Gvim 7.2
Python 2.5: Install Gvim 7.2 and replace vim.exe and gvim.exe with the files in gvim72python25.zip
Python 2.6: Install Gvim 7.2 and replace vim.exe and gvim.exe with the files in gvim72python26.zip
Python 3.1: I wasn’t able to build Gvim 7.2 with Python 3.1 (most probably due to the backwards incompatible changes in Python 3)
To determine what version of Python your Gvim installation supports use the following command in Gvim:
python import sys; print sys.version