Search path for python script

[grt]

I'm new to python, running it under cygwin. This must be easy but I
haven't figured it out. I'm trying to run a script by typing:

python test.py

where test.py is in a directory I've added to PYTHONPATH, but test.py
is not found. Perhaps PYTHONPATH only applies to modules imported
within a script. I didn't notice an option to python to search the
standard path, like Perl -S.

How is this done?