Here is the main Web page about Python.
Most Windows machines will use the "Python 2.5.2 Windows installer". Clicking this will put an installer icon on your Desktop.
Click on the installer icon, and then just keep clicking "Next" to accept the standard installtion options, and finally "Finish".
Note: For Windows Vista, you may instead have to right-click on the installer icon, and then select "Install as Administrator". We will investigate this issue further.
When you are done, if you left-click on the Start menu at the bottom-left of your screen, and then "All Programs", you should see "Python 2.5" in the list of programs you can run. Click on it, and then select "IDLE- Python Interpreter" to get started!