Python as a language need not be that confusing. If you already do VB and C++, try this tutorial: http://python.about.com/od/gettingstarted/ss/helloworld.htm . If that is too quick, there is a series of slower-paced ones here:
http://python.about.com/od/gettingstarted/tp/pytutbeg.htm .
An introduction to IDLE may be had here:
http://hkn.eecs.berkeley.edu/~dyoo/python/idle_intro/ . It really is the Python shell. If you start it up and see a prompt with something like a side-ways chevron ('>>>'), you are in the interactive shell mode. To get into the non-interactive editor, where you can write the program and execute it later, do the following:
1. Select: Options --> Configure IDLE --> General (tab)
2. 'Under Startup Preferences: At Startup', select 'Open Edit Window'.
3. Click 'OK'
4. Restart IDLE.
As far as building executables, normally Python programs are not built. Python is an interpreted language and is converted to machine-readable code at runtime. This comes with a small performance penalty, but saves you time and the frustration of the write-compile-run-debug mousewheel. For more information on this, see: http://python.about.com/od/gettingstarted/ss/beg_executing.htm .