It's better to check the GIS wiki to help you in this case. In different versions of ArcGIS we need to use different modules. From the wiki:
Python support in different versions of ArcGIS
The geoprocessor python object is accessed differently depending on the version of ArcGIS:
 ArcGIS 9.0/9.1
These versions of ArcGIS use Python 2.1 with the PythonWin package to access a >Geoprocessor using a COM interface:
import win32com # PythonWin
gp = win32com.client.Dispatch("esriGeoprocessing.GpDispatch.1")
The GpDispatch COM interface is available in later versions of ArcGIS, though it is only >available to Python if PythonWin is installed.  GpDispatch provides access to >geoprocessing using any language that supports COM.
 ArcGIS 9.2
This version of ArcGIS uses Python 2.4 and brought a major change to how the Geoprocessor >was created. The win32com.client is no longer needed, replaced by the Python-native >(non-COM) arcgisscripting module. This both provides better performance and allows >platform independence; Python geoprocessing scripts using the arcgisscripting module are >supported on non-Windows versions of ArcGIS Server.
gp = arcgisscripting.create()
 ArcGIS 9.3/9.3.1
These versions of ArcGIS use Python 2.5.1 and can be used with both the 9.3 version of >arcgisscripting or the original 9.2 version of arcgisscripting.
gp = arcgisscripting.create() # 9.2 (default for ArcGIS 9.2,9.3)
gp = arcgisscripting.create(9.3) # 9.3
You can determine the version of the geoprocessor from its ScriptVersion property:
print "GP version: " + str(gp.ScriptVersion)
 ArcGIS 10
This version of ArcGIS adds the new arcpy module. ArcPy is a site-package that builds on (and is a successor to) the arcgisscripting module. Its goal is to create the corner-stone for a useful and productive way to perform data analysis, data conversion, data management, and map automation with Python.
The older versions of the geoprocessor (GpDispatch and the arcgisscripting module) are still supported to allow for forward compatibility of Python scripts.