directly executing a python script in Unix

[Marc Laymon]

I am just learning python.  I have written a few simple scripts which
run fine when invoked using "python myscript.py".  The Python manual
says you can execute a Python script directly In Unix by making the
first line "#!/usr/bin/python", then giving the command
"./myscript.py".  However, when I try this, I get an error "Command
not found.".  I get the same error under both Linux and Solaris. 
Using the same format for perl works fine.  Why doesn't the
"#!/usr/bin/python" line work for Python ?  (perl and python are both
in /usr/bin on my Linux system.)

Thanks.

Marc Laymon