Vim scripting with python

[Tool69]

Hi,

I saw several old posts speaking of vim scripting in Python. This one
in particular :
http://www.velocityreviews.com/forums/t351303-re-pythonising-the-vim-eg-syntax-popups-gt-vimpst.html

But I didn't find where to put this "vimrc.py" on my Windows machine.
My "normal" _vimrc file is in C:\Documents and Settings\my_name .

Does anyone have any advice, and more genraly how to script Vim with
Python ?

I know I can put some python functions inside my vimrc file like
this :

function! My_function()
python << EOF
import vim, string
...blablabla
EOF
endfunction

but I would like to use external ".py" files.

Thanks.