Your question is somewhat open-ended, but if you're new to Python or API programming, then you should get a feel for how to do network programming in Python, using either the urllib2 or httplib modules that come with more recent versions of Python. Learn how to initiate a request for a page and read the response into a file.
Here is an overview of the httplib module in Python documentation:
http://docs.python.org/library/httplib.html
After you've managed to make page requests using the GET HTTP verb, learn about how to make POST requests and how to add headers, like Content-Type, to your request. When communicating with most APIs, you need to be able to send these.
The next step would be to get familiar with the XML standard and how XML documents are constructed. Then, play around with different XML libraries in Python. There are several, but I've always used xml.dom.minidom module. In order to talk to an API, you'll probably need to know to create XML documents (to include in your requests) and how to parse content out of them. (to make use of the API's responses) The minidom module allows a developer to do both of these. For your reference:
http://docs.python.org/library/xml.dom.minidom.html
Your final solution will likely put both of these together, where you create an XML document, submit it as content to the appropriate Shopify REST API URL, and then have your application deal with the XML response the API sends back to you.
If you're sending any sensitive data, be sure to use HTTPS over port 443, and NOT HTTP over port 80.