You might actually be missing certifi module. 
Overview:
From your error stack trace, it appears that you are using Windows platform and have the native windows Python installation. So I will stick to Windows instructions here. But since I have Cygwin based python installation, I will provide here cygwin-based steps to resolve your issue. 
However, you can very easily use these steps on the Windows command prompt as well, by installing pip or easy_install, pre-built binary, or source code. 
Windows-Cygwin-Pip way:
- Add the directory that hosts python executable to your environment's PATH variable. Instructions here 
- Get pip to easily install new python packages. Best way is to download get-pip.py in cygwin’s home directory and run python get-pip.pyin cygwin bash shell command prompt. Detailed and Alternative instructions here
- Run pip install requestsin the cygwin bash shell. It will installrequestsandcertifipackages, which results inresults,requests-2.4.0.dist-info,certifi, andcertifi-14.05.14-py2.7.egg-infoin the /lib/site-packages folder.
- Run python and execute your original line of code import requests. It will run without errors.
Alternatives Ways to Installing a New Package:
There are several other alternatives of downloading this requests package, or for that matter any new python package. These include:
- Getting easy_installin Cygwin and Runningeasy_install requests. Geteasy_installin cygwin by installingsetuptoolspackage or by following instructions here.
- Downloading a pre-built binary available here. And running it as executable. It will automatically install the module under the latest python installation available in windows registry. 
- Downloading source code for requestsfrom Github into the home directory and Runningpython setup.py install
Python-Requests Installation Doc:
There is a brief list of ways to install requests available on the original python-requests project website as well. See here.