No. You would simply run script.py or something. You would also need python 2.5 or above (I believe).
If your bot was in c:\supybot, you would have to (without creating an environment variable) go in the c:\python25 directory, and type "python c:\supybot\start.py" (without quotes), or something, to get it to work.
Again, its a complicated process if you've never done it before.