Newbie ?? Running hello1.py and compiling?

[OneDay at ATime.net]

Hello all,

       At Python's site I started with Example 2.1, Our First Program. I 
opened IDLE, Opened a new window and copied/wrote the commands 
and saved it as hello1.py. 

        To run the program it says to "run the script as usual"
                                $ python hello1.py

        Where do I type this, I don't know what "as usual" means.

        After I wrote hello1.py, I noticed a compiled version in my explorer. 
Which I can run from there. How did that happen?

         When I copied/wrote hello2.py, following the above steps, I did not 
get a compiled version. What did I do wrong?

 
Thank you for your time and patience,
Al