Downloading a library to any folder on your system will not make it available for the python interpreter to import into other modules.
pyfits has instructions on how to install it. Preferred way to install any python package is using pip.
If you have downloaded the .exe of the library, install it like how you would install any windows program.
If you have downloaded the source instead, uncompress the source archive. And install it with commands:
python setup.py build
python setup.py install
This will install the library into python site-packages. If pyfits is installed correctly executing this command:
python -c 'import pyfits; print pyfits.__version__'
from your command prompt should display the version information of the library. Once you confirm that you have installed it correctly by doing the above, you can re run your sample.py