A Python program is just a text file ending in .py. You need a code editor to write one. Visual Studio Code (free, from code.visualstudio.com) is the most popular, and its Python extension gives you colours, error highlighting and a Run button much like this site.

Save a file called hello.py containing print("Hello from my computer"). Then, in a terminal, go to the folder it's in and run it:

cd Documents
python hello.py
Hello from my computer

cd ("change directory") moves the terminal into a folder. A few other terminal commands are worth knowing: ls (or dir on Windows) lists the files in a folder, and pressing the up arrow brings back your last command.

Typing just python on its own opens the interactive interpreter, marked by >>>, where each line runs as you press Enter. It's handy for trying things out. Type exit() to leave.