I am using a shared hosting environment that will not give me access to the command line.
Can I download the python module on my computer, compile it using python setup.py installand then simply upload a .py file to the web host?
If yes, where does the install statement place the compiled file?
This is not directly an answer to your question but.. change your hosting provider! There are very cheap hostings with shell access and I swear that running Python site without access to shell is next to impossible.
Also, compiling Python library (I assume that it has some C bindings, otherwise there's not much to compile) on your local computer and uploading it to remote server without shell access might turn out to be a nightmare, because of some missing dependencies, conflicting versions of other libraries etc.
Last but not least, tools like Fabric are your friends during deployment to remote servers, and without shell access you basically either can't use them, or you suffer (for example: I have a script that commits&pushes local changesets to Mercurial repository on a remote server, updates it there and restarts that app on server - how would you do this with FTP-only access :) ?)..