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It's actually the documentation that's slightly wrong in this case. On Windows, there is an additional import mechanism based on the Windows registry that is checked before the ordinary sys.path mechanism. (See http://docs.python.org/library/pkgutil#pkgutil.iter_importers)
The easiest way to check if this is happening is to see which version of the code is executed by "python -m parser". If I'm right, that will execute the local parser.py file on both Linux and Windows.