NOTE: if MMGen is already installed on your system, you must remove your existing installation by hand before installing this new version. On Linux, this means deleting everything under the directory '/usr/local/lib/python2.7/dist-packages/mmgen/'. Also, if you did a 'git pull' instead of a fresh clone, you must delete the 'build' directory in the repository root before installing.
The 'mmgen-pywallet' utility has been removed. It's no longer needed, as the 'bitcoin-cli dumpwallet' command (available since Core v0.9.0) provides equivalent functionality.
The Windows port isn't being actively maintained at the moment. Use at your own risk, and report any problems on the Bitcointalk forum.