Hi Phil.
Welcome to YC! Hope you enjoy your stay. darkecho shared a link to the beginner's guide for Python. That should help you out.
A python script is saved as a .py file. You can either use an IDE or simple use a text editor like Notepad, Notepad2, gedit, etc (depending on which operating system you are using). Don't use a word processor like MS Word, or OpenOffice Word Processor.
If you are running Windows, you will need to install Python to run your scripts. Most (all?) Linux distros have python installed by default.
Once you are comfortable with the basics and would like to improve your Python skills, you should read "Dive into Python".
Enjoy!