Getting Python to work with celstart ...?

I just downloaded celstart (Windows version) and pycelstartdemo.celzip. At first, when I tried to run celstart_static.exe, I got a message about python25.dll not being present, so I installed python 2.5.4 from python.org. Now I get a menu with pycelstart listed, but when I click it, I get the following error message:

Fatal Error
crystalspace.application.celstart: Can't create behaviour 'smallgame' for entity 'bootstrap'

and in the text console I have more info:

Code:

Start '.\pycelstartdemo.celzip'!
PYTHONPATH: .\pycelstartdemo.celzip
DEBUG: Sound System Software Renderer Initializing...

crystalspace.pluginmgr.loadplugin:
failed to initialize plugin 'crystalspace.device.joystick.windows'
Error: failed to load module "smallgame"
ImportError: No module named smallgame