On this website you will find a large number of python scripts for blender. They are usually in the form of a .py file. To have a look at them you can simply open such files in notepad or a similar programme. When you open them and it starts with #!BPY the script has BPY information and can be integrated into a blender menu.
There are 2 main ways of running python scripts, depending on whether they have BPY information or not. There is also a special kind of script called a space handler.

Scripts without BPY information

This method can also be used for scripts with BPY information

1.    Copy the text of the script (on windows: ctrl+c)
2.    Open blender
3.    Go to the text editor menu
4.    Create a new file (alt+n)
5.    Paste the script (on windows: ctrl+v)
6.    Run the script (alt+p)

Scripts with BPY information

1.    Place the .py file in the following folder: ***/.blender/scripts
       *** = the basic blender folder where you installed blender
2.    Open blender
3.    Go to the scripts window
4.    Your script can now be found in the "Scripts" menu (to the right of the snake). If it isn't there,
       you first need to update the menu by opening the "Scripts" menu and then clicking "Update Menus".

Space handlers

These are a special kind of scripts and aren't used like other scripts. They can be recognised because they start with # SPACEHANDLER
The full line is one of the following:
To use them, you need to activate them in a 3d-view. Information on how to do this can be found in this example.

Errors

Once you execute a script several errors can occur.

1.    Some scripts need a full python install. For blender 2.49b on windows that would mean python 2.6.x
       (3.0.x or later will not work). Also don't forget to set your python path correctly.
2.    Some scripts needs certain parameters to be set up, before they can be executed.
       This information is normally provided along with the script.
3.    The script contains an error. If you suspect this is the case the best thing to do is to contact the
       author of the script. The author will probably be very greatful for bugreports and help you further.