One way to install this package is to build a source dist and then install it with pip. pip with download the oauth dependency automatically if you use the included requirements file:
cd TwitterOAuth
python setup.py sdist
pip install -r stable-req.txt dist/twitter_oauth-0.1.tar.gz
You can also install directly from the GitHub repo:
pip install git+git://github.com/ccg/TwitterOAuth.git#egg=twitter_oauth