When I compiled Python using PCBuild\build.bat I discovered that several Python external projects like ssl, bz2, ... were not compiled because the compiler did not find them.
I did run the Tools\Buildbot\external.bat and it did download them inside \Tools\ but it looks that the build is not looking for them in this location and the PCBuild\readme.txt does not provide the proper info regarding this.
In case it does matter, I do use VS2008 and VS2010 on this system.
Example:
Build log was saved at "file://C:\dev\os\py3k\PCbuild\Win32-temp-Release\_tkinter\BuildLog.htm" _tkinter - 2 error(s), 0 warning(s) Build started: Project: bz2, Configuration: Release|Win32 Compiling... bz2module.c ..\Modules\bz2module.c(12) : fatal error C1083: Cannot open include file: 'bzlib.h': No such file or directory