Run ASSOC and FTYPE to see what your py files are associated to. (These commands are internal to cmd.exe so if you use a different command processor ymmv.)
C:> assoc .py
.py=Python.File
C:> ftype Python.File
Python.File="C:\Python26.w64\python.exe" "%1" %*
C:> assoc .pyw
.pyw=Python.NoConFile
C:> ftype Python.NoConFile
Python.NoConFile="C:\Python26.w64\pythonw.exe" "%1" %*
(I have both 32- and 64-bit installs of Python, hence my local directory name.)