Download and install Windows version from http://www.python.org/download/. As of 24 July 2005 the lastest version is 2.4.1. Direct link to file is here (right click to save).
You can use the Python IDE called IDLE to edit and execute Pyhon scripts. Alternatively, you can open a Command Prompt window and invoke the script by typing python script.py (of course, replace 'script.py' with name of your own script). If the Python interpreter python.exe is not in your current path - check by typing path in the Command Prompt window - you have to change the path configuration. The configuration is in Start -> Settings -> Control Panel -> System -> Advanced -> Environment Variables -> System variables. Find the Path variable and press Edit, then add path to python.exe. Click image below to see large screenshots.
Windows XP: Add path to python.exe (needed when invoking the script from a Command Prompt window). Click to enlarge.