Because the pydbg is not a official Python module, correct install guide is needed. It can't be installed using pip2 or pip3.
Step 1. Install Python 2.x and add the installed Python 2.x to environment variable.
* In my case, I installed Python 2.7.3.
Step 2. Install the "paimei".
1. Download the paimei.
2. There is install file "PaiMei-1.2.win32.exe" in the folder "dist".
3. Click next and next.
Step 3. Overwrite "pydasm.pyd".
1. Download the pydasm.pyd.
2. Go to "C:\Python27\Lib\site-packages\pydbg" and overwrite the pydasm.pyd
Step 4. Test using import.
1. Open the CMD and execute Python.
2. Import the pydbg.
>>> import pydbg
※ If you get an error installing pyodbc, I recommend to reinstall the Python 2.x. I tried many other methods to fix it but it was not worked.