You should give a bit more information, it's hard to say what the problem is.
Firstly, you obviously need to make sure you have Python
installed. If you do, then python programs should run with a double-click.
Then check the syntax, Python 2.6 does not need parentheses around the parameter while the new Python 3 does ( print "Hello World!" vs. print ("Hello world!") )
Next, check that you saved the file with the .py extension, not .txt or .py.txt or something like that.
If you get a black box flashing by, then it probably works, but you're not waiting for a keypress. Add raw_input('Press Enter...') if that's the case.
Running the program from the command line
will show you any syntax errors in your program.