Install MySQL (if not already)
and then Python MySQLdb
http://mysql-python.sourceforge.net/MySQLdb.html
see instructions here:
http://sourceforge.net/projects/mysql-python/files/mysql-python/1.2.3/
as Paul C notes in a comment, the warnings are normal, the SDK is working fine, you just can't use the 'Google Cloud SQL' APIs without MySQL up and running