I'm going to assume that you've got the GD library installed, which is pretty trivial to do. If you're having troubles with that, I suggest you have a look at that package's instructions.
Starting with version 0.40 of gdmodule, the Setup.py script tries rather hard to identify installed libraries. Assuming you have GD installed normally, with development versions of all the libraries it uses, you are in good shape. If you have build problems or runtime errors mentioning unknown functions, you probably either (a) don't have all the supporting libraries installed as development versions, or (b) have libraries installed that weren't used to build GD!
Libraries looked for are: X11, Xpm, png, z, jpeg, ttf, and/or freetype. If both libttf and libfreetype are found, the libfreetype wins. If either libpng or libz are missing, png support is not built; likewise for Xpm and X11.
Installation is done via the standard Distutils. Do this (as root if necessary):
python Setup.py install
This should build the _gd.so extension and install it along with the gd.py module in the standard location on your system.
If you have had a previous version of gdmodule installed, in particular one which creates a monolithic gdmodule.so or gd.so, please remove it before building this one.
As of right now, I don't have a build for Windows. If I get time I might put one together... don't hold your breath. (If someone wants to build one for me I wouldn't cry about it...)