That is a symlink creation so the assumption if using that command is wsgihandler.py exists in the current directory and you are creating a symbolic link named wsgi.py which points to wsgihandler.py.
If you use ls while logged in on the server do you see wsgihandler.py, run the ls command. If not then you need to be in the web2py install directory $ ls -l wsgihandler.py should show you the file. The ln command is a standard UNIX command. Do you get an error message?
