http://selenic.com/hg/file/66e87c11447d/setup.py

22 scripts = ['hg']
23 if os.name == 'nt':
24 scripts.append('contrib/win32/hg.bat')
...
118 setup(name='mercurial',
...
125 scripts=scripts,

C:\Python26\scriptsにhgとhg.batが入ってそうだが