The preferred way to install mitmproxy - whether you're installing the latest release or from source - is to use [pip](http://www.pip-installer.org/). If you don't already have pip on your system, you can find installation instructions [here](http://www.pip-installer.org/en/latest/installing.html).
If you are looking for a more information on how to install mitmproxy directly from the master branch on GitHub, or are wanting to set up mitmproxy for developement purposes, see the <ahref="https://github.com/mitmproxy/mitmproxy/blob/master/README.mkd#hacking">Hacking</a> section of the README on GitHub.
Ubuntu comes with Python but we need to install pip, python-dev and several libraries. This was tested on a fully patched installation of Ubuntu 14.04.
Install the latest version of Python 2 from the <ahref="https://www.python.org/downloads/windows/">Python website</a>. The Windows MSI installer is fairly straight forward and even includes pip as long as you are installing a version of Python 2 after 2.7.9. One option you should change during installation is "Add python.exe to Path". This will make it easier to run Python.