Python at my ISP

[Dave]

Supposedly, my ISP (Valueweb) supports Python. I have been trying to
get a script running but so far have been unsuccessful. Here is my
script:

#!/usr/local/bin/python

print "Content-type text/html\n\n"
print "Hello World!"

First of all, what is the correct extension that I should be using?
.py or .cgi? I either get the script passed back to me or I get an
access denied. I tried to chmod the file to give it execute
permissions but that didn't fix it.

Is there anything else I can try before I contact their support?

Please help a newbie.
Thanks,
David Foderick