Blender includes it’s own python libraries so you only need to download blender (say, from graphicall.org or blender.org). It doesn’t matter too much which version you get or where you install it (as long as it’s a windows build), but for consistence I’ve installed mine in c:/blender.
By default, blender comes with a bunch of addons (which run through python scripts – ie, you don’t have to set up python yourself), some are enabled some are disabled. You can further choose to install scripts if you find some you like while browsing these forums. To see the options for addons, in blender go to menu: File -> User Preferences -> Addons.