Python can be programmed through an interactive command line (the interpreter), but anything you code won't be saved. Once you close the session it all goes away. To save your program, it's easiest to just type it in a text file and save it (be sure to use the .py extension, that is, foo.py).

To use the interpreter, simply type python at the command prompt (*nix and Mac) or click the Python application icon (Windows and Mac). If you're using Windows and installed the Python .msi file, you should be able to also type python at the command prompt, or find the launch icon in the Start menu.

Though they may look the same, the main difference between the Python interpreter and the system command prompt is that the command prompt is part of the operating system while the interpreter is part of Python. The command prompt can be used for other tasks besides messing with Python; the interpreter can only be used for Python.