I would guess you are not using the Python installed by ArcGIS. It is possible (but I think unlikely) that somehow the *.pth file got lost or messed up, but if it did Waynes solution will help.
You could end up using the wrong Python if you already had it installed, or installed another Python after ArcGIS.
The IDLE associated with ArcGIS Python is found here:
Start Menu ... > ArcGIS > Python ... > IDLE (Python GUI)
You can check the paths available to Python in IDLE with:
File > Path Browser