SDL does a decent job of abstracting sound interfaces in a platform-independent way. PyGame contains an interface to SDL and works on many platforms. Such abstraction, of course, sets many limitations, but maybe it will still do for you.
It seems that on Windows the SDK installer doesn't actually install the bindings to any location visible to the Python interpreter. You can find the files at sdk\bindings\python\v2.6\lib\site-packages. Copy the contents of the directory to your Python installation's site-packages, and you should be able to import the library.
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