Hi Dominic,

I added `config.add_subpackage('neural_network')` to setup.py (didn't 
know it was necessary), I checked out the pull request in my other 
machine and it worked! These are the steps I followed for the checkout

1) git clone https://github.com/scikit-learn/scikit-learn
2) cd scikit-learn/
3) git fetch origin refs/pull/2120/head:mlp
4) git checkout mlp

Cheers.
~Issam



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