How to install psycopg2 with "pip" on Python?

I'm using virtualenv and I need to install "psycopg2".

I have done the following:

pip install http://pypi.python.org/packages/source/p/psycopg2/psycopg2-2.4.tar.gz#md5=24f4368e2cfdc1a2b03282ddda814160

And I have the following messages:

Downloading/unpacking http://pypi.python.org/packages/source/p/psycopg2/psycopg2
-2.4.tar.gz#md5=24f4368e2cfdc1a2b03282ddda814160
  Downloading psycopg2-2.4.tar.gz (607Kb): 607Kb downloaded
  Running setup.py egg_info for package from http://pypi.python.org/packages/sou
rce/p/psycopg2/psycopg2-2.4.tar.gz#md5=24f4368e2cfdc1a2b03282ddda814160
    Error: pg_config executable not found.

    Please add the directory containing pg_config to the PATH
    or specify the full executable path with the option:

        python setup.py build_ext --pg-config /path/to/pg_config build ...

    or with the pg_config option in 'setup.cfg'.
    Complete output from command python setup.py egg_info:
    running egg_info

creating pip-egg-info\psycopg2.egg-info

writing pip-egg-info\psycopg2.egg-info\PKG-INFO

writing top-level names to pip-egg-info\psycopg2.egg-info\top_level.txt

writing dependency_links to pip-egg-info\psycopg2.egg-info\dependency_links.txt

writing manifest file 'pip-egg-info\psycopg2.egg-info\SOURCES.txt'

warning: manifest_maker: standard file '-c' not found

Error: pg_config executable not found.

Please add the directory containing pg_config to the PATH

or specify the full executable path with the option:

    python setup.py build_ext --pg-config /path/to/pg_config build ...

or with the pg_config option in 'setup.cfg'.

----------------------------------------
Command python setup.py egg_info failed with error code 1
Storing complete log in C:\Documents and Settings\anlopes\Application Data\pip\p
ip.log

My question, I only need to do this to get the psycopg2 working?

python setup.py build_ext --pg-config /path/to/pg_config build ...

Note: Since a while back, there are binary wheels for Windows in PyPI, so this should no longer be an issue for Windows users. Below are solutions for Linux, Mac users, since lots of them find this post through web searches.

Option 1

Install the psycopg2-binary PyPI package instead, it has Python wheels for Linux and Mac OS.

pip install psycopg2-binary

Option 2

Install the prerequsisites for building the psycopg2 package from source:
Debian/Ubuntu

Python version
Command
Note

Default Python 3
sudo apt install libpq-dev python3-dev

Python 3.x
sudo apt install libpq-dev python3.x-dev
substitute x in command

Python 2
sudo apt install libpq-dev python-dev

If that's not enough, you might additionally need to install

sudo apt install build-essential

or

sudo apt install postgresql-server-dev-all

as well before installing psycopg2 again.
CentOS 6

See Banjer's answer
macOS

See nichochar's answer

Stack Overflow Q#5420789, score: 1300