Most Linux distributions comes with cURL by default or make it easy to get and install. Check if your distro does not already include it. PycURL is probably avaliable via the distro package manager/update utility. It is probably a good idea to check it also before going futher, after all, it will easier to install and manage it (or both, actually) using your distro package manager/update utility.
Since Windows does not come with neither cURL or pycURL, Windows users will have to install both.
cURL downloads: http://curl.haxx.se/download.html.
pycURL downloads: http://pycurl.sourceforge.net/download/.
Both links contain Linux (and other *Nix) tarballs/packages and Windows installer files.