To install cyipopt you will need the following prerequisites:
Python(x,y) is a great way to get all of these if you are using windows and satisfied with 32bit.
You will also need the binaries and header files of the Ipopt package. I recommend downloading the binaries from http://www.coin-or.org/download/binary/Ipopt/ especially as they include a version compiled against the MKL library.
Download the source files of cyipopt and update setup.py to point to the header files and binaries of the Ipopt package. Then, execute:
$ python setup.py install
You can test the installation by running the examples under the folder test/
Note
Under linux you might need to let the OS know where to look for the Ipopt lib files, e.g. use:
$ export LD_LIBRARY_PATH=<PATH to Ipopt lib files>