CVXMOD is discontinued!
Unfortunately CVXMOD has not been developed since 2008. It is incomplete, somewhat buggy and not supported. Please instead try the replacement package CVXPY. Or, try CVXOPT if you are prepared to work at a lower level, CVX if you are ok with Matlab, or CVXGEN if you want small (but super high speed) QP solvers.
The current version of CVXMOD requires CVXOPT version 1.0, which needs
CVXMOD may work with earlier versions of CVXOPT, but with no guarantees (or expectations of support).
Download, unarchive and run python setup.py install with root privileges inside the directory that appears. You may wish to reference the Python version directly, for example with python2.5 setup.py install.
Example: Generic linux system with CVXOPT already installed
cd /tmp/ wget http://cvxmod.net/dist/cvxmod-0.4.6.tar.gz tar xzf cvxmod-0.4.6.tar.gz cd cvxmod-0.4.6/ sudo python setup.py install
Test using one, or both, of the quick examples.