Error when trying to authenticate in Rackspace

Question

I have got Following code from Rackspace Documentation.

import pyrax
pyrax.set_setting("identity_type", "rackspace")
pyrax.set_default_region('ORD')
pyrax.set_credentials('ot7336', '2755cd822321335191c8cc3ab46bbcff')

but when i run the module I get following error message

Traceback (most recent call last):
File "C:/Python27/rackspaceFileDownload.py", line 1, in <module>
import pyrax
ImportError: No module named pyrax

I have downloaded pyrax from this link https://github.com/rackspace/pyrax/

Unzipped it and installed it in windows in CMD using "setup.py install"