You have two options:
1) Drop to a command line, and simply type in "python"... see what happens.
You may get any one of several messages to the effect that some thing is not
found and/or is missing.
Then, exit from python, change to the folder where your setup.py is, and
type in "python setup.py"... this time, the window won't just disappear.
2) search your Python installation and find the program "Idle.bat". It
should be in ... \python\Lib\idlelib
Idle (a GUI interface) will open in a new window.. you can then open
setup.py and select run on it.