Why does PyImport_Import fail to load a module from the current directory?

I'm trying to run the embedding example and I can't load a module from the current working directory unless I explicitly add it to sys.path then it works:

PyRun_SimpleString("import sys");PyRun_SimpleString("sys.path.append(\".\")"); 

Shouldn't Python look for modules in the current directory ?

Edit1: Tried just importing the module with:

Py_Initialize();PyRun_SimpleString("import multiply"); 

And it still fails with the following error:

Traceback (most recent call last):  File "<string>", line 1, in <module>ImportError: No module named multiply

Edit2: From the sys.pathdocs:

If the script directory is not available (e.g. if the interpreter is invoked interactively or if the script is read from standard input), path[0] is the empty string, which directs Python to search modules in the current directory first.

Not sure what it means by not available, but if I print sys.path[0] it's not empty:

/usr/lib/pymodules/python2.7