You do need the python software. Run the file you downloaded. It has been a while since I installed python myself(it is my favorite programming language) but I am trying to remember how to get it up and running quickly and easily. You can decide for yourself which features to install(it is safe to use the default options). After doing that to really use python on windows you will want to add python to the path. This takes just a few steps given in detail here:
http://stackoverflow.com/questions/6318156/adding-python-path-on-windows-7
(assuming you're running windows 7? if not google add python to path on whatever OS you're using.
This part is useful because it will enable you to run python as soon as you open the command prompt, and without it you will need to run python from the folder to which it is installed(and will need to type out the path to the program you want to run).
Let me know if you have any questions or would like some advice on getting started with python.
Jose