command prompt history filtered by initial letters

[limit]

Hello,

On WindowsXP with Python 2.5.1 (from the python-2.5.1.msi): when I'm
at the python prompt, up-arrow scrolls through the command history. If
I type group of characters first, up-arrow shows only the previous
commands that start with that group of characters.

On CentOS 5 with Python 2.5.4 (that I built locally): up-arrow does
not filter the command history based on initial characters at the
prompt.

How do I get this command history filter working on the centos
install?

--Todd