Doesn't the installer (Wrye_Bash_291_Installer_Version-22368-291) ask you to download the files (wxPython 2.8.11.0-ansi, Python Comtypes 0.6.2, and Python Extensions for Windows (PyWin32) 214) ? Let it do it. Run the installer as admin preferably !
Nope, I only recently found out that the Wrye Bash 291 installer fails on the python setup part if Python is not installed (about half way through with long pauses followed by errors - I think the reason is the parts of python are not installed in the correct order)
So now he has a partially installed python setup, with a leftover desktop temporary folder, and the Wrye Bash Installer still wont install.
Best approach now would be ....
Go to start, control panel, and look for add remove programs
Go down the list of installed programs, and look for anything with Python in the name (even WXPython, and the comtypes installation (if it installed))
Un-install each of those that you find. Heres a screenshot of what you are looking for http://www.bild.me/bild.php?file=9437499Untitled.jpg
Also Delete the temporary desktop folder which the installer created (I am assuming that is what has happened, unless you installed or moved the game installation folder to your desktop - Which would be un-usual but just checking in case you go deleting your game... never know with new users).
Now start afresh - First use the Wrye Python 03a installer (from the same place you got Wrye Bash - Dont go finding individual parts of python, the 03a installer has everything you need)
Say yes to everything it offers, and after clicking next for each part give that part chance to finish writing to your hard drive (dont just quickly click click click through it)
Once everything is complete - Now use the Wrye Bash 291 installer, if everything went okay before this stage, the Wrye Bash Installer will now recognise you have a correct python setup, skip its own incorrect python setup and install itself.
Fingers crossed that lot should sort you out

Once setup have a look at the links in my signature for first steps using Wrye Bash, The Basics Guide.
If you are new to modding, you might also want to have a good read of this .. http://www.gamesas.com/index.php?/topic/449239-oblivion-mods-faq/
and this .... http://tesivpositive.animolious.com/