Looks like you're on Windows. You'll almost certainly want to install from a binary installer. Back in a second with the link ...
Here you go: http://www.lfd.uci.edu/~gohlke/pythonlibs/
lxml is a Python binding on the libxml2 and libxslt C libraries. As a result, the install involves a compile step, AND you need to have those two libraries installed. As a (big) convenience, the binary installer is provided that has all that bit done for you. Big job otherwise, involving having Visual Studio C compiler installed and other bits that are pretty hairy if you don't have occasion to do that sort of thing much :)