A scripting language, such as Basic and its many "flavors," as well as Python, Tcl, and Javascript, has its programming code "interpreted" into computer instructions every time a script is run (at "run time"). An executable program, one that comes complete unto itself, has had all of its computer instructions "compiled" just once. C/C++, Pascal, Delphi/Kylix, and Java are examples of compiled languages.
Python is an interpreted language, as opposed to a compiled one. This means that the source files can be run directly without first creating an executable which is then run. Interpreted languages typically have a shorter development/debug cycle than compiled ones, though their programs generally also run more slowly. See also interactive.