Often, a Python program is run by naming a .py file on the command line:
$ python my_program.py
You can also create a directory or zipfile full of code, and include a __main__.py. Then you can simply name the directory or zipfile on the command line, and it executes the __main__.py automatically:
$ python my_program_dir
$ python my_program.zip
# Or, if the program is accessible as a module
$ python -m my_program
You'll have to decide for yourself whether your application could benefit from being executed like this.
Note that a __main__ module usually doesn't come from a __main__.py file. It can, but it usually doesn't. When you run a script like python my_program.py, the script will run as the __main__ module instead of the my_program module. This also happens for modules run as python -m my_module, or in several other ways.
If you saw the name __main__ in an error message, that doesn't necessarily mean you should be looking for a __main__.py file.