You have to add a shebang. A shebang is the first line of the file. Its what the system is looking for in order to execute a file.
It should look like that :
#!/usr/bin/env python
or the real path
#!/usr/bin/python
You should also check the file have the right to be execute. chmod +x file.py
As Fabian said, take a look to Wikipedia : Wikipedia – Shebang (en)