I currently work with .NET exclusively and would like to have a go at python. To this end I need to set up a python development environment. I guide to this would be handy.
Install the pre-configured ActivePython release from activestate.
Among other features, it includes the PythonWin IDE (Windows only) which makes it easy to explore Python interactively.
The recommended reference is Dive Into Python, mentioned many times on similar SO discussions.