The distutils looks in an environment variable named "HOME" on Windows:

http://docs.python.org/install/#location-and-names-of-config-files

Windows does not by default create such a variable, so only if a user
has manually configured one will it work.  The standard variable for
this purpose on Windows appears to be spelled "USERPROFILE":

http://en.wikipedia.org/wiki/Environment_variable

I tried to echo both %HOME% and %USERPROFILE% on a few windows systems
(XP, 2k3 Server and Vista) and only the latter worked. %HOME% is not set
in any of these systems.

%HOME% isn't set by Windows.
%HOMEDRIVE%%HOMEPATH% points to the user's home directory.
%USERPROFILE% is where the user's profile is stored, and may or may not 
be the same as his home directory.

%HOMEDRIVE%%HOMEPATH% should be used then, defaulting to %USERPROFILE% 
only when those variables are not set (that's unlikely, but could 
happen e.g. with the runas command)

The code works as expected because it uses os.path.expanduser('~'),
which will look to the right values depending on the platform.

So it's just the documentation that is wrong about how distutils behaves
under Windows.

I'll fix this doc asap, thanks for the feedback.

Fixed, thanks for the feedback all !