A good way to do this is to have a folder for your python modules and to set the environment variable PYTHONPATH to contain this folder. If you're on windows, search for environment variables in windows help and set the correct value. In this folder, you can create files like myModule.py and then use import myModule in all your python programs. You can also define subfolders like anotherModule which must contain a (possibly empty) file __init__.py and other python files like myProgram.py . You can then use import statements like import anotherModule.myProgram . Also, start reading this http://www.python.org/doc/2.5.2/tut/node8.html in the python tutorial.
On Linux, you can add a path to the PYTHONPATH variable in ~/.bashrc. Add this line
The next time you boot, the PYTHONPATH will reflect the changes.