Under Windows, you need the msvcrt module, specifically, it seems from the way you describe your problem, the function msvcrt.getch:
Read a keypress and return the
resulting character. Nothing is echoed
to the console. This call will block
if a keypress is not already
available, but will not wait for Enter
to be pressed.
(etc — see the docs I just pointed to). For Unix, see e.g. this recipe for a simple way to build a similar getch function (see also several alternatives &c in the comment thread of that recipe).