Also, I just installed pythonwin 2.6 and still getting the same error
PythonWin 2.6.5 (r265:79096, Mar 19 2010, 21:48:26) [MSC v.1500 32 bit (Intel)] on win32.
Portions Copyright 1994-2008 Mark Hammond - see 'Help/About PythonWin' for further copyright information.
>>> import arcpy
Traceback (most recent call last):
File "<interactive input>", line 1, in <module>
ImportError: No module named arcpy