If you can get smidump to work, then build-pysnmp-mib will work. Try running smidump by itself -- chances are you don't even have smidump available, but if you do, it should give you a more specific error (particularly if you leave off the -k):
smidump .\SONICWALL-FIREWALL-TRAP-MIB.MIB
If that fails, the MIB probably depends on other MIBs which aren't in your SMIPATH (try setting that environment variable to where you have your .MIB files, or create a $HOME/.smirc file defining path=/where/you/have/your/mibs )
If you don't have smidump, you can install it (even on OSX, if you've got your xcode & gnu tools set up) from http://www.ibr.cs.tu-bs.de/projects/libsmi/download/libsmi-current.tar.gz using ./configure && make install
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