If you're using Windows, you can use the IDLE IDE that ships with Python. It's not the most beautiful thing in the world, but it's already there. Just open it up and create a new file with it. You can run it natively in IDLE, so that's a good start.
If you're not on a Windows machine or you don't like IDLE (I wouldn't blame you, really), then you need to create and edit your Python programs in a text editor. I personally prefer SublimeText, but Notepad++ works just as well. Just save your file with a ".py" extension. To run a Python program on Windows, you can either navigate to the file in Windows Explorer and run it - this will open up the command line like you've already seen, or you can (and this is my personal preference) right click on it, "Edit with IDLE" and run it from there. It's not the most elegant solution, but IDLE provides good feedback on errors and won't just close when the program terminates for one reason or another. If you're on a Mac or *NIX, open up a terminal and run "python filename.py" where "filename" is whatever you named your file (prepended by the directory it's not in your current working directory).
I hope this helps!