olefile requires Python 2.6, 2.7 or 3.x.
For Python 2.5 and older, olefile falls back to an older version (based on OleFileIO_PL 0.26) which might not contain all the enhancements implemented in olefile.
To use olefile with other Python applications or your own scripts, the simplest solution is to run pip install olefile or easy_install olefile, to download and install the package in one go. Pip is part of the standard Python distribution since v2.7.9.
To update olefile if a previous version is already installed, run pip install -U olefile.
Otherwise you may download/extract the zip archive in a temporary directory and run python setup.py install.
On Windows you may simply double-click on install.bat.