Remove the test file before writing it in case there is no write permission.
This might help fix some of the failures on Windows box(es).  It doesn't hurt
either way and ensure the tests are a little more self contained (ie have
less assumptions).
diff --git a/Lib/test/test_gzip.py b/Lib/test/test_gzip.py
index 1704a60..a1a267e 100644
--- a/Lib/test/test_gzip.py
+++ b/Lib/test/test_gzip.py
@@ -25,13 +25,10 @@
     filename = test_support.TESTFN
 
     def setUp (self):
-        pass
+        test_support.unlink(self.filename)
 
     def tearDown (self):
-        try:
-            os.unlink(self.filename)
-        except os.error:
-            pass
+        test_support.unlink(self.filename)
 
 
     def test_write (self):