[10:23] $python -V
Python 2.4c1
[10:25] $python -c 'from test.test_shutil import
test_main; test_main()' -v
test_dont_copy_file_onto_link_to_itself
(test.test_shutil.TestShutil) ... ok
test_dont_move_dir_in_itself
(test.test_shutil.TestShutil) ... ok
test_on_error (test.test_shutil.TestShutil) ... ERROR
test_rmtree_dont_delete_file
(test.test_shutil.TestShutil) ... ok
test_rmtree_errors (test.test_shutil.TestShutil) ... ok

======================================================================
ERROR: test_on_error (test.test_shutil.TestShutil)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "/usr/lib/python2.4/test/test_shutil.py", line
34, in test_on_error
    os.chmod(TESTFN, old_dir_mode)
OSError: [Errno 2] No such file or directory: '@test'

----------------------------------------------------------------------
Ran 5 tests in 0.036s

FAILED (errors=1)
Traceback (most recent call last):
  File "<string>", line 1, in ?
  File "/usr/lib/python2.4/test/test_shutil.py", line
99, in test_main
    test_support.run_unittest(TestShutil)
  File "/usr/lib/python2.4/test/test_support.py", line
290, in run_unittest
    run_suite(suite, testclass)
  File "/usr/lib/python2.4/test/test_support.py", line
275, in run_suite
    raise TestFailed(err)
test.test_support.TestFailed: Traceback (most recent
call last):
  File "/usr/lib/python2.4/test/test_shutil.py", line
34, in test_on_error
    os.chmod(TESTFN, old_dir_mode)
OSError: [Errno 2] No such file or directory: '@test'

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Ah, seems like chmod doesn't work on Cygwin. That means
there's no way to run this test there, so I've changed it so
that it doesn't run on Cygwin anymore.

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I disagree, chmod seems to work:
[11:35] - adp96: touch zzz
[11:35] - adp96: ll zzz
-rw-rw-rw-    1 mikit    Domain U        0 Nov 23 11:35 zzz
[11:35] - adp96: python -c 'from os import chmod;
chmod("zzz", 0700)'
[11:36] - adp96: ll zzz
-rwx------    1 mikit    Domain U        0 Nov 23 11:35 zzz

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Hmm, strange. I should perhaps have provided the link that I
based this on: http://www.cygwin.com/faq/faq_3.html#SEC41. 
The thing is, the test needs a permissions error so it can
check shutil.rmtree's error handling. Setting the
permissions for the directory to stat.S_IREAD (0400) doesn't
seem to prevent Python from removing the file. I don't know
enough about the intricacies of Cygwin+chmod (I don't have a
Windows machine) to make this work reliably, but I'll be
happy to take another patch.

Note, by the way, that this is not a problem with shutil
itself, but just with the test.

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Closing this. I've added a comment to the source pointing to
here.