Visit Python.org/download/ and download the latest version from this website (which was Python-2.3.3.exe as of this writing). It is about 9 MB only. It is very compact compared to other languages. Installation is just like any other Windows-based software.
When you are given the option of unchecking any optional components, please don't! Some of these components will be useful for you, especially IDLE (short for Integrated DeveLopment Environment).
An interesting fact is that about 70% of Python downloads are by Windows users. Of course, this doesn't give the complete picture since almost all Linux users will have Python installed already on their systems by default.
You can always use IDLE to run your Python programs, but if you want to run your Python programs from the DOS prompt, then add the following line to C:\AUTOEXEC.BAT :
PATH=%PATH%;C:\Python23
Then restart the system. However, be sure to give the correct folder name.
A reader has also pointed out to me that Windows XP requires using the menu Control Panel -> System to set environment variables like we did above.