- Pymysql is a Python library, so you have to install it "into" your Python (or for Python, to be exact).
- Python is not bundled with OpenERP, it must be installed on your computer separately.
So, if your module requires pymysql, first install this library for python, then restart your OpenERp server (maybe restarting a computer would be a good idea when on Windows, just guessing), and after that install your module.
If Openerp server runs on your computer, then you must already have python installed too. Now to install pymysql, you coud first install PIP (python package manager), then in command line type:
pip search pymysql
Pip will search for this library and give a list of libraries that match this name. Then:
pip install pymysql
You may have to replace "pymysql" with another name from search list.
If installed, you may proceed to installing Openerp module.