I installed pcapy on a Windows machine, but importing in Python failed due to a missing DLL.
Process Monitor showed me what was missing: wpcap.dll, a WinPcap DLL:
The DLL was missing because I had installed Npcap (an alternative for WinPcap, that provides loopback packet capture).
This problem can be fixed by setting a toggle to install a WinPcap compatible API (e.g. wpcap.dll) during installation: