Hashbang error

[pradeepbpin]

I use gVim as an editor to create python scripts on a windows machine.
To run the same script on my ubuntu machine, I added a hashbang line
to the script. Now when I run this script from command line of ubuntu,
I get a bad interpreter error, like below

/usr/bin/python^M: bad interpreter: No such file or directory

This, I understand, is due to the interpretation of newline character
at the end of the hashbang.

I have checked and found out that this does not happen if I create the
script in Ubuntu with gVim.

Now, how can I avoid this error when I create the script on a windows
machine?