See Doc/html/pyqwt/index.html.

If you never read docs:

(1) Start the Python interpreter and try:
    >>> import pyqtconfig; print pyqtconfig.Configuration().pyqt_sip_dir
    
    If this fails, sip and PyQt have not been installed with the configure.py
    scripts. Read the manual.

(2) Execute the following commands from a command line:
    cd PyQwt-4.2
    cd configure
    python configure.py
    make
    make install


Q: It did not work?
A: Read the manual.
