Closing, due to no reply being received in over a year.  (Patch has been in development snapshots for some time now, so it's assumed to be working.)

Would you mind testing this patch (made against 0.6c11?  Thanks!

Index: setuptools/sandbox.py
===================================================================
--- setuptools/sandbox.py       (revision 75384)
+++ setuptools/sandbox.py       (working copy)
@@ -207,6 +207,7 @@
         self._violation("tmpnam")

     def _ok(self,path):
+        if hasattr(_os,'devnull') and path==_os.devnull: return True
         active = self._active
         try:
             self._active = False

This is a bug in setuptools 0.6c9. Console output follows.

ender:test habnabit$ easy_install oursql
/opt/local/Library/Frameworks/Python.framework/Versions/2.6/lib/python2.6/site-
packages/Pyrex/Compiler/Errors.py:17: DeprecationWarning: BaseException.message 
has been deprecated as of Python 2.6
  self.message = message
Searching for oursql
Reading http://pypi.python.org/simple/oursql/
Reading http://launchpad.net/oursql
Best match: oursql 0.1
Downloading http://launchpad.net/oursql/trunk/0.1/+download/oursql-0.1.zip
Processing oursql-0.1.zip
Running oursql-0.1/setup.py -q bdist_egg --dist-dir 
/var/folders/vt/vtsTQLkkFNCqREdN+o2BqE+++TI/-Tmp-/easy_install-H7Ob5k/oursql-
0.1/egg-dist-tmp-xuwDCz
error: Setup script exited with error: SandboxViolation: open('/dev/null', 'w') 
{}

The package setup script has attempted to modify files on your system
that are not within the EasyInstall build area, and has been aborted.

This package cannot be safely installed by EasyInstall, and may not
support alternate installation locations even if you run its setup
script by hand.  Please inform the package's author and the EasyInstall
maintainers to find out if a fix or workaround is available.