Trouble running programs

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Just started learning Python, but having trouble running a programs. 
First, I open IDLE, then open a new window
Then I write a program and save it, then I close the window
When I'm back at the Python Shell and select Run Script It gives me 
an error "Not Saved - The bugger for Python Shell is not saved. 
Please save it first!"
However, I can run the program from the DOS prompt.