Python is an interpreted scripting / programming language. When a language is called "interpreted," it means that another process is responsible from translating the code a programmer writes into machine code that the operating system can run at the time the Python file is executed. In this case, it's called the Python interpreter. When a language is called a "scripting" language, it means that it can be used for small, atomic tasks without much setup or overhead. In contrast, a "programming" language is often used for heavier lifting, like creating web services or data systems. Python can fulfill both of these roles.
To get started with Python, you'll first need to install the Python2 interpreter. Steps to install depend on your platform, and the python site will have the interpreter you need.