This document is deprecated. Please see Installation instead.
How (and indeed, if) you must install Python will vary depending on the operating system you're using.
The important point is to confirm which version you have. Python 2.6 and 2.7 are well-tested. Python 2.5 may work, but Python 3.x will not work. You can determine the version in use with this command:
$ python --version
Python should be installed out of the box on most flavors of Linux. Debian 6.0 comes with Python 2.6, for instance. See your distribution's documentation for more information.