This error:
python: can't open file 'test.py': [Errno 2] No such file or directory
Means that the file "test.py" doesn't exist. (Or, it does, but it isn't in the current working directory.)
I must save the file in any specific folder to make it run on terminal?
No, it can be where ever you want. However, if you just say, "test.py", you'll need to be in the directory containing test.py.
Your terminal (actually, the shell in the terminal) has a concept of "Current working directory", which is what directory (folder) it is currently "in".
Thus, if you type something like:
python test.py
test.py needs to be in the current working directory. In Linux, you can change the current working directory with cd. You might want a tutorial if you're new. (Note that the first hit on that search for me is this YouTube video. The author in the video is using a Mac, but both Mac and Linux use bash for a shell, so it should apply to you.)