You can detect fast user switching events using the Terminal Services API, which you can access from Python using the win32ts module from pywin32. In a GUI application, call WTSRegisterSessionNotification to receive notification messages, WTSUnRegisterSessionNotification to stop receiving notifications, and handle the WM_WTSSESSION_CHANGE message in your window procedure.
If you're writing a Windows service in Python, use the RegisterServiceCtrlHandlerEx function to detect fast user switching events. This is available in the pywin32 library as the RegisterServiceCtrlHandler function in the servicemanager module. In your handler function, look for the SERVICE_CONTROL_SESSIONCHANGE notification. See also the WM_WTSSESSION_CHANGE documentation for details of the specific notification codes.
There's some more detail in this thread from the python-win32 mailing list, which may be useful.
I hope this helps!