+3  A: 

It's a C module

jkp
+3  A: 

Here

It's a builtin, so there is no .py file.
If you want to see the C source on your system:

apt-get source python

It's in Python/import.c

An easy way to see that imp is a builtin is

$ python -v
_lots of stuff snipped_
>>> import imp
import imp # builtin

Alternatively, in ipython

In [1]: import imp

In [2]: imp??
Type:    module
Base Class: <type 'module'>
String Form:    <module 'imp' (built-in)>
Namespace:  Interactive
Docstring [source file open failed]:
    This module provides the components needed to build your own
    __import__ function.  Undocumented functions are obsolete.
gnibbler
`sys.builtin_module_names` is another option.
intuited