If you are like me and starting to learn python, you may have downloaded the recommended 2.6.4 release and started mucking about with it. I first downloaded python when it was the 2.6.3 release so this may no longer be applicable, but it wasn't available within the first few lines when I did a search for the error:
Traceback (most recent call last):
File "test.py", line 1, in
ImportError: No module named request
As the book Head First programming mentions in the intro, they are basing their code on 3.0 line of code. Download the latest release (3.1.1 at this time) and you will have no problem.