Bundle: go with Activestate's Python, which bundles many useful win32-related libraries. It has no version 2.6 yet, but most code you'll find online refers to 2.5 and lower anyway.
Database: any of the popular open-source DBs are simple to configure. But as John already suggested, for simple beginning stuff just use SQLite which already comes bundled with Python.
Web server: depends on the scale. You can configure Apache, yes, but for trying simple things the following is a quite complete web server in Python that will also serve CGI scripts writte in Python:
import CGIHTTPServer
import BaseHTTPServer
class Handler(CGIHTTPServer.CGIHTTPRequestHandler):
cgi_directories = ["/cgi"]
PORT = 9999
httpd = BaseHTTPServer.HTTPServer(("", PORT), Handler)
print "serving at port", PORT
httpd.serve_forever()