I think you are right that this is a common problem. I ran into the same thing with (I think it was) libxml2. It seems many packages understand two configurations — (a) pure win32 with MS VS ($$) and (b) pure POSIX with gcc. Its a shame that the official Python keeps getting out of sync with the freely available Visual Studio Express, that would make things so much easier.
It sounds like in the mhash case, though, its not even compatible with Windows, so that's an even harder problem.
(By the way, this whole compatibility thing can get very political, which I think is a shame. For example, libiconv (FSF version) is deliberately incompatible with MS VS and will only work with mingw. So now you have the reverse problem as above, and (as far as I can tell) it was done purely to make a political point.)
mhash
It sounds like in the mhash case, though, its not even compatible with Windows, so that's an even harder problem.
(By the way, this whole compatibility thing can get very political, which I think is a shame. For example, libiconv (FSF version) is deliberately incompatible with MS VS and will only work with mingw. So now you have the reverse problem as above, and (as far as I can tell) it was done purely to make a political point.)