First download, build and install sqlite3 with a --prefix. Then build python with same prefix , it will find sqlite installation and will build _sqlite3 module.
$ mkdir -p ~/applications/src
$ cd ~/applications/src
$ wget http://www.sqlite.org/sqlite-autoconf-3070900.tar.gz
$ tar xvvf sqlite-autoconf-3070900.tar.gz
$ cd sqlite-autoconf-3070900
$ ./configure --prefix=~/applications
$ make
$ make install
$ cd ~/applications/src
$ wget http://www.python.org/ftp/python/2.5.2/Python-2.5.2.tgz
$ tar xvvf Python-2.5.2.tgz
$ cd Python-2.5.2
$ ./configure --prefix=~/applications
$ make
$ make install
$ ~/applications/bin/python
>>>import sqlite3
>>># no error!
