The Python installation normally associates ".py", ".pyw" and ".pyc" files with the Python interpreter. So you can run a Python script either by double-clicking it in Explorer or by typing its name in a command-line window (so no need to type "python scriptname.py", just "scriptname.py" will do).
If you want to manually change this association, you can edit these keys in the Windows registry:
HKEY_CLASSES_ROOT\Python.File\shell\open\command
HKEY_CLASSES_ROOT\Python.NoConFile\shell\open\command
HKEY_CLASSES_ROOT\Python.CompiledFile\shell\open\command
But it would be great if someone would write a "Python launcher" to associate with ".py" etc files instead, which would do something like what *nix does: look for a comment on the first line something like:
#!c:\Python26\Python.exe
and then run the script using that interpreter. Or it could look for something like:
#!/usr/bin/whatever/python26
(anything of the form python**xy**), find that version installed on the PC, and run it.