Trying to use "Programming Python" (Lutz), getting module errors.

[Rob Lineberger]

I'm trying to learn Python, so I picked up Mark Lutz' Programming
Python.  Using latest builds of Python and Pythonwin.

print 'Hello world!' worked ok. 

As soon as I move on to page 13, Running Module Files, it breaks.  I
opened up notepad and created a file called spam.py.  When I try to
use it, pythonwin says no such module exists.  I saved it in My
Documents, but I have no idea how to tell Python to look there.  So I
saved it to C:\Python22\Lib\spam.py.  No dice.

Tried using spam.py from the command prompt, IDLE, etc, all to no
avail.

Tried setting PYTHONPATH to C:\Python22\Lib but that didn't work
either.

I can't learn this language if I can't create and import modules.  Any
advice?