Python looks in the directories that are part of the module search path. These directories are listed in the sys.path variable from the sys module. To list where the Python looks for modules, print out the value of the sys.path variable. For example, type the following in pythonwin's interactive window:
import sys
print sys.path
By default, arcpy's default location is:
C:\Program Files (x86)\ArcGIS\Desktop10.1\arcpy
or
C:\Program Files (x86)\ArcGIS\Desktop10.0\arcpy
If the path isn't there, try adding the path using the sys.path.append method. Ex: