You have several options. They all have the same basic effect: You want to tell Python where to find the module your script needs to import.
Option 1. Alter the Python sys.path within your script.
(Limok pointed this out, too.) If you know the absolute path to the Python module, or you can calculate it from a relative path, then you can add that path in code before your script attempts to import the module.
import sys
sys.path.append('/path/containing/the/module/you/want/to/import')
# You can also manipulate sys.path in various ways:
sys.path.insert(0, '/path/to/search/before/other/locations')
sys.path.remove('/path/you/don't/want/to/search')
By fiddling with sys.path, you can achieve some pretty amazing (and confusing) effects. But be careful, because it can be confusing for other people who try to read and maintain your code later. ("Where did this module come from??")
Option 2. Alter the PYTHONPATH environment variable.
In the bash shell, this is as simple as
export PYTHONPATH=$PYTHONPATH:/path/containing/the/module/you/want/to/import
python yourscript.py
This has the same effect on sys.path, but it does not make your script responsible for configuring its own environment; it's a bit cleaner implementation, because you can run the same script on multiple machines without having to hack the script itself. Just copy the file to another machine and set the PYTHONPATH before you run the script.
This is pretty trivial in most shells. In Windows, you may need to use the GUI to set the Environment Variable PYTHONPATH.
Option 3. Use a .pth file.
Python looks at the PYTHONPATH variable to setup its sys.path list on startup. But it also looks for special .pth files in the Python site-packages folder. (If you don't know where the site-packages folder is, then that's probably another StackOverflow question.)
The simplest .pth file contains a single line with a file path:
/path/containing/the/module/you/want/to/import
Python will pick that up and add it to the sys.path list.
These .pth files can do a lot more, but that's beyond what you need right now. If you're curious, Bob Ippoli has more detail here:
http://bob.ippoli.to/archives/2005/02/06/using-pth-files-for-python-development/
Option 4: Use a virtual environment.
This isn't directly a solution to your immediate problem, but I mention it for completeness. Python virtual environments allow you to contain all the dependencies for your application in a self-contained isolation chamber. All of the above (Options 1 through 3) still apply within a virtual environment, but sometimes a virtual environment helps to keep things tidy...and understandable.
If you can use virtualenvwrapper, it makes virtual environment management a breeze. Otherwise, you can use the low-level virtualenv (Python 2) and pyenv (Python 3) without much pain.