In the manual, it talks of the script your supposed to use to get into the “grey screen labeled Panda” and even after following the directions to the letter, I can’t seem to get that screen up. Help would be greatly appreciated. 
You will have to provide more detail of the result (error message?) you get in order for us to help.
You probably fell into the indentation failure. Many Python newbies do that.
Rule of a thumb: white space is as important in Python as any other letter.
There are exceptions to that, but you need to know that shite space at the beginning of lines determines how Python is supposed to interpret it. So watch your indentation and don’T mix tabs with spaces (use spaces only).
If you are using a fresh linux install, the default python has changed to python 2.7, try using python2.6 instead of python in the command line.
That’s not true. Panda uses whatever Python ships with your OS, in the case of Linux.
Well, in my case (ubuntu 10.04), python gives me an import error everytime I try using the 2.7 (which is the default).
Maybe the python was updated after I installed panda and I need to set the import path by myself?
Python 2.7 is not the default in Ubuntu 10.04 (Lucid Lynx) - 2.6 is. Are you referring to Ubuntu 11.04, which does ship with Python 2.7 by default?
yes, 11.04, my bad.
You must have installed a non-matching Panda3D build for there to be a version mismatch.