Yup, you should change the directory to your desktop
cd c:\Documents and Settings\username\Desktop
or something like that.
Note that you can just create a text file with a .bat extension and write
ppython file.py
in it. When you’ll click it, it will run your game.
Or you can create an exe file.
Or if you use an IDE like Geany, you can execute your script by pressing F5 or something. It will also create a .bat file in that directory for you.