@forteller Unfortunately I can't give an authoritative answer because I don't use Windows, but from a bit of quick research it sounds like there are a couple more steps, at least for the first time you want to run a .py file:
1. download the Python installer
2. *run* the installer
3. right-click on your .py file, choose "Open With", choose Python (or python.exe or whatever it shows up as) and select "Always use this program for this file type" if that's an option
4. then you can double-click the .py file
But steps 1-3 only need to happen once. So in the future, if you want to run any more Python scripts, you should be able to just double-click them.
Whether the script actually does anything useful when run in this way is a whole separate matter, of course....
Info taken from e.g. https://learnpython.com/blog/run-python-script-windows/ and https://stackoverflow.com/a/1934695/56541