Here is a Hello World Python Script to get you started.
#!/usr/bin/python
print "Content-Type: text/html\n\n";
print "Hello";
You can make that python file with extension ".py" in cgi-bin folder or have this in the ".htaccess" file of the folder in which you want Python scripts to be executed.
AddHandler cgi-script .cgi .pl .py
Options +ExecCGI