C:\work\python>c:\work\python\25\py.exe
Python 2.5 (r25:51908, Feb 13 2007, 14:33:20) [MSC v.1400 32 bit (Intel)] on win32
Type "help", "copyright", "credits" or "license" for more information.
C:\work\python>ez_setup.py wxpython
Searching for wxpython
Reading http://cheeseshop.python.org/pypi/wxpython/
Couldn't find index page for 'wxpython' (maybe misspelled?)
Scanning index of all packages (this may take a while)
Reading http://cheeseshop.python.org/pypi/
Reading http://cheeseshop.python.org/pypi/wxPython/2.6.3.2
Reading http://wxPython.org/
Reading http://wxPython.org/download.php
Best match: wxPython src-2.8.3.0
Downloading http://prdownloads.sourceforge.net/wxpython/wxPython-src-2.8.3.0.tar.bz2
Processing wxPython-src-2.8.3.0.tar.bz2


I think, when unpacking bz2, an error occurs and windows shows an error about 
"python.exe has encountered a problem and needs to close"

Can you try to take the .tar.bz2 file and unpack it yourself using Python's bz2 module?
We can then find out where exactly the segfault occurs.

I downloaded the file from the URL given above, and when I tried to decompress it in a single shot (with bz2.decompress), python crashes.  Reading the raw bz2 data from file into a string in memory works ok, but attempting to use bz2.decompress on that data causes the crash.

I could only get this to happen under 2.5.1 on a Windows XP machine (media center edition); it seems to work ok on OSX (Python 2.5) and Linux (both 2.4.4 and the current trunk).  I will be able to take a closer look at this tomorrow when I have access to a Windows machine with a compiler on it.

Well, this problem doesn't seem to occur on my Windows XP Pro (SP2) machine for 2.5.1 (both the "official" build and one I built locally).  It's going to be a week or two before I'll be able to get back to the one machine on which it crashes.  If the original poster can provide any additional information (crash logs, etc) before then I'll try to have a look.

i've downloaded file wxPython-src-2.8.4.0.tar.bz2 manually and wrote a test script:
----------
import bz2

arch = bz2.BZ2File( 'wxPython-src-2.8.4.0.tar.bz2','r' )
lines = arch.readlines()
----------
as i can understand, python crashes right after start of reading this bz2 file

I managed to make this crash happen by loading up the computer with memory-intensive processes and then running the test script provided by the original poster repeatedly.  The crash report seems to indicate an attempt to dereference a NULL pointer somewhere in the bz2 library, but I haven't had time to dig any further to find out where this happens (I'm guessing a memory allocation call is missing a follow-up NULL check).  

This was done with a standard install of 2.5 on a Windows XP Media Edition laptop.  I'll post more when I get time to play with this again.

I can try to figure this out if you can tell me the way :) 
I've got vc8 installed and lots developer tools. Actually I tried to compile python on my machine, after that run tests and bz2 test also failed that time...

This was apparently fixed sometime in trunk.