I wonder if that video is the correct reference. Nothing in there suggests that python-fu is required and OP can already make a gradient from a palette see:
viewtopic.php?f=8&t=12995&p=176316#p176316FWIW Confirm that python is there: Filters -> Python-Fu -> Console and check that the command line activates.
example:
http://i.imgur.com/qkNUD9f.jpgAs a guess.
Maybe OP is trying to run some
external-to-gimp python script that
does require a full python installation. Do a search for installing Python in Windows
or
Trying to run a gimp-python filter
something.py directly. A
no-no. Gimp filters run from the Gimp menu system.