PyQT is a great cross-platform QT binding for python, but it is not a magic solution for shipping your application for all platforms without doing any packaging/installer maintenance. I think maybe you might be expecting some magic.
It is a cross-platform library. That means, you can write your C++ or Python (or other language with bindings) code once, and create a "window" (a form, a dialog box, something on the screen) and populate it with controls (buttons, and all that) and not have to deal with the platform differences in how buttons are made in Windows, Linux, and on Mac OS X.
Because it is a library, it can be packaged in multiple ways. It can be "statically linked" (built into your executable/binary/app) or "dynamically linked" (known as a DLL in windows, a shared library or on unix/linux or as a framework, in mac os x). It is not always "installed" on a computer, unless it is a shared library.
Even when it is "installed" onto a computer, multiple versions might exist on that computer, and so it is not proper to think of it as being an extension to your computer, but rather an extension to an application (a program) on your computer.
If you use Python bindings for QT, then your installation package for your application needs to include the QT binding's binary files (python extensions), the basic Python runtime environment including the Python executable and basic libraries, and your program's source code. It is possible to package most of this up into a single "bundle". On Mac OS X, for instance, all this can easily be put into a an ".app" bundle, and on Windows, and Linux, I believe there are packaging and installation tools that can help you do this easily.
Even though you will only need to write the user interface code for your application once, you will not magically get the ability to ship an application on all three primary platforms at once, without doing at least the building of the installer or packaging, separately for each platform. Users expect to download a setup/install package for Windows or Mac OS X, and perhaps for Unix/Linux it depends further on which distribution you install.
Update thanks to AdamW for this nokia link providing deployment information