Figured this out, I followed the direction on the Python.org web page for installation and those instructions miss having you run the ./configure command first that is buried in the readme file.  I know have Python installed successfully.
Hello Everyone,  I am trying to build my own 3 node Linux cluster. I have everything installed and ready to install ScaleIO. The last Item I did was the Python install. Downloaded version 2.7.10 which the web site says is the stable recommended version to use. The Linux installation instructions says to use the latest version of 2.x. The error I get at the end of the install is "error: pyconfig.h: No such file or directory".  I run "python setup.py install" Response is as follows: running install running build running build ext error: pyconfig.h: No such file or directory  I have searched and found various answers but have not found a fix yet to address this error. Appreciate all suggestions.
Python Install failure on CentOS 7.0