How can I configure Geany to compile and run my Python programs?

I had the same problem and found the following solution:

In the 'Build Options' dialogue, click on '_Execute' at the bottom of the dialogue and the _execute options become editable.

I put the full path name to my Python install in there (C:\Python27\python %F) or (C:\Python32\python %F) and it seems to work just fine.

I don't need to configure anything in Geany. I just hit F5 and the current module is executed.

Are you sure that your file is recognized as a Python source file? Which version of Geany are you using (I am using the SVN version, which is pretty stable; damn, it's rock solid stable ;-))? I have a slightly more developed configuration for Python compilation in my version, but the commands are the same and it works very well.