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The most common problem is using a different Python installation than the one you installed PyGTK into. If you can run things outside of Wing you can get the full path to the correct interpreter with 'import sys' followed by 'print(sys.executable)'. Then set Python Executable in Project Properties to Command Line and enter that full path there.
Another way in Wing Pro is to create a new project in Wing and create a new virtualenv at the same time and either specify the PyGTK package(s) in the New Project dialog or add them afterward with the Packages tool from the Tools menu.