You should put your loops inside a function and then return:
def myfunc():
for i in range(1, 1001):
for i2 in range(i, 1001):
for i3 in range(i2, 1001):
if i*i + i2*i2 == i3*i3 and i + i2 + i3 == 1000:
print i*i2*i3
return # Exit the function (and stop all of the loops)
myfunc() # Call the function
Using return
immediately exits the enclosing function. In the process, all of the loops will be stopped.