How do I run my Python code in IDLE/ Sublime Text 2?

As you can probably tell, I'm brand spankin' new at this. I've completed several modules on Codecademy, and used their environment/interpreter up till now, but I want to start my own Python projects.

I'm really confused with IDLE- it seems to run each line of the code within the code itself? Very annoying.. And with Sublime Text 2, I literally can't figure out how to run my code.

Within Codecademy, there was a section where you'd type the code, then you hit a button to run it in another small screen off to the side. I really liked this... but is this not customary?

Can someone explain to me (a beginner!!) what I'm doing wrong? Are there any environments you'd recommend? Basically I'm having trouble making that leap from Codecademy where everything was easy to run, to actually getting out of that environment and writing code like actual coders do. Any and all tips would be appreciated. :) Thanks!