For absolute beginners setting up Python on Windows can be a bit daunting. There used to be a great guide for setting up a development environment on the Sad Phaeton Blog which is sadly now defunct. I will try to emulate the brilliance of that guide but if you want another guide there's one here.
There are currently 2 main releases of Python, Python 2.7 and Python 3.3. There are some differences in the language between the two and the support for external libraries is better in 2.7 just by virtue of it being older. We'll use Python 2.7 in this tutorial.
Download it here, I use 32 bit Python (Python 2.7.5 Windows Installer) because the installers provided for third-party libraries tend to look for the 32 bit version. You can trick these installers into using the 64 bit version by editing the Registry but unless you're going to be using huge datasets 32 bit should do for you.
Run the installer using the default settings. I tend to install to the directory (C:/Python27). If we open the Windows command prompt (run "cmd") and type "python" we get the following response.