i hear (but have not tested myself) that this has something to do with 64-bit windows and python. you might be using 64 bit python instead of 32 bit python; using 32 bit python might work without the errors.
you might also check if, even with the error message, the install succeeded. try the following from the python shell (case matters):
>>> from athenaCL import athenacl
installation instructions are in the manual, in an appendix at the end. however, your problem is not yet addressed there.
http://www.flexatone.net/athenaDocs/www/ax01.htm
note also that you do not really need the .exe installer; you can just download the .tar.gz (source/linux) version and place the package in a directory that python knows about. (just double-clicking on the athenacl.py file might work too).
when you find a solution, please report back for the benefit of other windows users.
best regards,
chris.