I downloaded mercurial by selecting the "download now" link from the main
mercurial page.  It said I need Python 2.4, so I followed the link.

I downloaded and installed Python 2.6.4 from www.python.org/download.

When I ran the mercurial installer, it complained:

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You cannot install mercurial 1.3.1 on this volume.
mercurial requires Apple Python 2.6 to install.
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I've already installed Python 2.6, but mercurial still refuses to install.