You do NOT have to compile MLPY from source code because it has compiled binary installation pack for Ubuntu/Debian. That is way convenient than compilation.
Step 1: Download MLPy from official download site.
Step 2: Make sure you have all required packages, especially Python >= 2.5 (the default Python version on CentOS/RHEL 5.4 is 2.4 ). O/w, you will have trouble like me.
Step 3: Set environment variables. Take a look at this. But be sure to delete those two variables after it. O/w, you will have weird problem with other compilation.
Step 4: Run setup.py as you compile and install other Python modules. On my system, it is:
python2.6 setup.py install --prefix=/home/bao/apps/Python-2.6
Please note that I used Python 2.6 interpreter.
Step 5: Test, optional
I tried this example. It worked!