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If you downloaded a binary installation of Sage, then the spkg files are not real packages: they are placeholder files only. In this situation, you should download the actual spkg; a command like

$ sage -f http://sagemath.org/packages/standard/python-2.7.2.p4.spkg

should work, I think.

If you downloaded a source installation instead, then maybe your spkg file is corrupted, and you should download a new one anyway.