Confirmed here.
As a workaround, you may rename sqlite3.dll to SQLITE3.pyd, with some
uppercase letters: the dll loader won't care, but the python import does
check for case consistency.

There is a problem in PCBuild/sqlite3.vcproj, which is supposed to build
sqlite3.dll:
"OutputFile" is defined to a name ending with ".dll" for Relase and
Debug builds, but not for the PGInstrument and PGUpdate builds: this
property is inherited from pyd.vcprops, which defines a name ending with
".pyd".
Of course, the distribution is a PGUpdate build...

Martin, I suspect that you already corrected this in your distribution
workspace, but the _sqlite3.pyd file was not rebuilt:

>dir c:\python26\DLLs\*sqlite3*
 [...]
2008-06-19  13:56              247,296 sqlite3.dll
2008-06-19  13:53               40,960 _sqlite3.pyd

The .dll is newer that the .pyd, when the project dependencies are in
the other direction.