Install Numeric. If you're on an RPM-based distro and you've installed it, then you forgot to also install the -devel package.
I ran into the same problem on Mandrake 10 while recompiling to enable mp3 support. (The only Mandrake RPMs I found didn't have it enabled and I like to play PyDance using mp3s)
You can get the source tarball from http://www.pfdubois.com/numpy/
If you want RPMs, I recommend http://rpm.pbone.net/
I've found that these ones work nicely on Mandrake 10.0: