You can use the os module.
>>> import os
>>> os.getcwd()
'/home/user'
>>> os.chdir("/tmp/")
>>> os.getcwd()
'/tmp'
But if it's about finding other modules: You can set an environment variable called PYTHONPATH, under Linux would be like
export PYTHONPATH=/path/to/my/library:$PYTHONPATH
Then, the interpreter searches also at this place for imported modules. I guess the name would be the same under Windows, but don't know how to change.
edit
Under Windows:
set PYTHONPATH=%PYTHONPATH%;C:\My_python_lib
(taken from http://docs.python.org/using/windows.html)
edit 2
... and even better: use virtualenv and virtualenv_wrapper, this will allow you to create a development environment where you can add module paths as you like (add2virtualenv) without polluting your installation or "normal" working environment.
http://virtualenvwrapper.readthedocs.org/en/latest/command_ref.html