If you're on Python 2.5 or earlier, open the file and then use the file object in your redirection:
log = open("c:\\goat.txt", "w")
print >>log, "test"
If you're on Python 2.6 or 2.7, you can use print as a function:
from __future__ import print_function
log = open("c:\\goat.txt", "w")
print("test", file = log)
If you're on Python 3.0 or later, then you can omit the future import.
If you want to globally redirect your print statements, you can set sys.stdout:
import sys
sys.stdout = open("c:\\goat.txt", "w")
print ("test sys.stdout")