You'll need to install IPython to run the scientific notebook (.ipynb) on your pc, but you can open it in Azure if you create a new Notebook, then click File -> Open
Then click the upload button and browse to the PythonIntroCheatSheet.ipynb (download is linked above).
You'll want to download an interactive development environment (IDE) if you want to run the code (.py) locally.
I'd recommend one of the following: