You cannot directly save a Python file as an exe and expect it to work -- the computer cannot automatically understand whatever code you happened to type in a text file. Instead, you need to use another program to transform your Python code into an exe.
I recommend using a program like Pyinstaller. It essentially takes the Python interpreter and bundles it with your script to turn it into a standalone exe that can be run on arbitrary computers that don't have Python installed (typically Windows computers, since Linux tends to come pre-installed with Python).
To install it, you can either download it from the linked website or use the command:
pip install pyinstaller
...from the command line. Then, for the most part, you simply navigate to the folder containing your source code via the command line and run:
pyinstaller myscript.py
You can find more information about how to use Pyinstaller and customize the build process via the documentation.
You don't necessarily have to use Pyinstaller, though. Here's a comparison of different programs that can be used to turn your Python code into an executable.