Nomet,
Hold the phone ! .... standby .... I'll explain ... First of all, thanks for your help! ... I'm such a noob.
Ok ... Come to find out, the correct Python wasn't installed ... well, v2.6.x wasn't ... I was running 2.5.x.
Ok ... Fixed. I've got python 2.6.6 installed.
Now ... I've got Blender, v2.4.9b installed ... so, cross your fingers ....
Ahhh ... now I'm back in business ...
Now ... I still get an error but it's my fault now (I think)

... see screenshot below.
This error can be fixed by me since the script assumed I knew what I was doing
I'll assume this is a normal error?
I just wanted to see if the basic default CUBE would work with no other action taken ... apparently not !
When I had v2.5.x of Python installed (and no Python installed) it errored out as described earlier ... obviously.