If you actually just download a .py file, you need to run it with python. Like in the example you linked, something like
python3 _filename_
(and if that’s the case, you might need to add a line at the top of the file, telling it where the interpreter is. But probably you actually want the following)
To install, you use the python installer program, pip. Something like
pip _package-name_
Before you do either, you need to install python and pip. I don’t know exactly (look for correct package names), but you need to run something like
sudo apt install python3 pip




Funny to see this, I was just going through some old playlists today and listened to some Extol. Not one I think about often, but a fun band!