With the last version, using virtualenv.py alone is not supported any more, and the installation of virtualenv requires setuptools. The recommended way to install setuptools on windows is ez_setup (according to the documentation). In the end, I find it quite easy to install it all this way. It might even be easier if you run ez_setup.py with a doubleclick.

The other possibility I considered is to download and install setuptools and virtualenv from http://www.lfd.uci.edu/~gohlke/pythonlibs .