Python 2.6 is compiled with Visual C++ 2008 on Windows. This means the corresponding C runtime library, msvcr90.dll, is a side-by-side installation dependent on manifests. To get around this the dependencies are built against another C runtime, msvcrt.dll or msvcr71.dll, and the static library versions converted to DLLs that are placed in a prebuilt directory.
So the first step is to build the dependencies as normal with msys_build_deps.py. Next create the prebuilt directory and copy the libraries and headers to it.
python make_prebuilt.py
Next, replace the libraries with msvcr90.dll linked versions.
msys_link_VC_2008_dlls.py
Finally run config.py, answering n to Is this an mingw/msys build [Y/n]: and y to Use the SDL libraries in "prebuilt"? [Y/n].