pg_config executable not found

I am having trouble installing psycopg2. I get the following error when I try to pip install psycopg2:

Error: pg_config executable not found.Please add the directory containing pg_config to the PATHor specify the full executable path with the option:    python setup.py build_ext --pg-config /path/to/pg_config build ...or with the pg_config option in 'setup.cfg'.----------------------------------------Command python setup.py egg_info failed with error code 1 in /tmp/pip-build/psycopg2

But the problem is pg_config is actually in my PATH; it runs without any problem:

$ which pg_config/usr/pgsql-9.1/bin/pg_config

I tried adding the pg_config path to the setup.cfg file and building it using the source files I downloaded from their website (http://initd.org/psycopg/) and I get the following error message!

Error: Unable to find 'pg_config' file in '/usr/pgsql-9.1/bin/'

But it is actually THERE!!!

I am baffled by these errors. Can anyone help please?

By the way, I sudo all the commands. Also I am on RHEL 5.5.