Well, first, you need to actually define a function before you can run it (and it doesn't need to be called main). For instance:
class Example(object):
def run(self):
print "Hello, world!"
if __name__ == '__main__':
Example().run()
You don't need to use a class, though - if all you want to do is run some code, just put it inside a function and call the function, or just put it in the if block:
def main():
print "Hello, world!"
if __name__ == '__main__':
main()
or
if __name__ == '__main__':
print "Hello, world!"