Possibly there's a syntax error in your hello.py program. What *exactly* does the error message say?
If your hello.py program is short, post it too.
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You're typing that into IDLE, right? That won't work. The command you're trying to use (that is, 'python hello.py') is appropriate for use in the command window, where it means 'run the command named python and tell it to work on the file named hello.py', but it's not appropriate inside IDLE.
When you're in IDLE, python is already running, so all you need to do is to tell it to read in and execute the hello.py file. To do that, type this:
import hello
'import' is the python statement that causes a python file to be read and executed. When you use 'import' it supplies the '.py' extension on the filename automatically, so you only need to type in the 'hello' part.