Installing from wheel filenames on Windows fails. Probably because filenames have an initial drive C: and the path separator is backslash. I modified pip.wheel.WheelFile.__init__ to print out the filename and I get:

```
>pip install C:\Work\Projects\virtualenv-pfm\virtualenv_support\pip-1.5.dev1-py2.py3-none-any.whl
c%7C%5Cwork%5Cprojects%5Cvirtualenv-pfm%5Cvirtualenv_support%5Cpip-1.5.dev1-py2.py3-none-any.whl
Exception:
Traceback (most recent call last):
  File "C:\Work\Projects\virtualenv-pfm\foo\lib\site-packages\pip\basecommand.py", line 121, in main
    status = self.run(options, args)
  File "C:\Work\Projects\virtualenv-pfm\foo\lib\site-packages\pip\commands\install.py", line 233, in run
    InstallRequirement.from_line(name, None))
  File "C:\Work\Projects\virtualenv-pfm\foo\lib\site-packages\pip\req.py", line 138, in from_line
    wheel = Wheel(link.filename) # can raise InvalidWheelFilename
  File "C:\Work\Projects\virtualenv-pfm\foo\lib\site-packages\pip\wheel.py", line 400, in __init__
    self.version = wheel_info.group('ver').replace('_', '-')
AttributeError: 'NoneType' object has no attribute 'replace'

Storing debug log for failure in C:\Users\Gustav\pip\pip.log
```

Note that the filename is a URL-escaped mess, and there's a dash in the directory, which confuses the wheel filename parsing regexp.

Raised as a pip bug, but I don't have the time or energy to fix it myself. If nothing else, this PR is identifying a lot of things to fix in the wheel support!!!