Using the excellent instructions at ShowMeDo Jack Atkinson, I built a version of both Gvim and Vim for Windows with support for Python 2.5 and for Python 2.6.
Python 2.4: Support is already built-in in Gvim 7.2
Python 3.1: I wasn’t able to build Gvim 7.2 with Python 3.1 (most probably due to the backwards incompatible changes in Python 3)
To determine what version of Python your Gvim installation supports use the following command in Gvim:
python import sys; print sys.version