The OS X message is generic, in that it's displayed for all build failures; that's just the platform where we had the most trouble at that step.
We can try just lying to the rest of the install script to tell it that this step succeeded, or we can try to get it working. As I recall, the PyCrypto module is not required to just deploy. Thus, let's start with the convenient lie, as that's easiest. You should have a directory
/home/Roger/coursebuilder_resources_1_11_001/runtime/pycrypto-2.6.1
That may very well be in a slightly different place from your perspective; the above is the path for Cygwin. For Windows, it's probably something a lot like C:\users\Roger\.... rather than /home/Roger
In that directory, please create a file named .gcb_install_succeeded (yes, with the leading "."). Doesn't matter what's in the file -- it can be completely empty. It just needs to exist. Once that's done, re-run the windows_deploy.bat file.
If that works, you're done. (Yay!) If that doesn't work, then things get more complex. Start the Cygwin shell (there should now be a Cygwin launcher on your Start menu). Issue the commands:
cd /home/Roger/coursebuilder_resources_1_11_001/runtime/pycrypto-2.6.1
python setup.py build
And then when that dies, please copy-paste everything including your typed-in commands and send it along so I can maybe figure out what's going awry.