On windows platform, you have 2 choices:
In a command line terminal, type
c:\python23\python xxxx.py
Open the python editor IDLE from the menu, and open xxxx.py, then press F5 to run it.
For your posted code, the error is at this line:
def main(url, out_folder="C:\asdf\"):
It should be:
def main(url, out_folder="C:\\asdf\\"):