It seems like you do not have connectivity on the box you are trying to install pysam. I will assume you downloaded 'pysam-0.7.4.tar.gz' and are doing something along the lines:
$ pip install pysam-0.7.4.tar.gz
$ tar xf pysam-0.7.4.tar.gz
$ cd pysam-0.7.4/
$ python setup.py install
In both cases dependencies for pysam will try to be installed automatically. If you cannot configure connectivity in this box(you are behind a firewall or no connectivity at all), you need to satisfy these dependencies manually. As far as I can tell pysam needs distribute and cython.
Are you behind an HTTP proxy? In that case, you will have to set up the http_proxy variable in order for pip to work correctly (http://stackoverflow.com/questions/11726881/how-to-set-an-http-proxy-in-python-2-7)