OpenCV 2.0 and Python
After Step 1 (Installer) just copy the content of C:\OpenCV2.0\Python2.6\Lib\site-packages to C:\Python26\Lib\site-packages (standard installation path assumed).
That's all.
If you have a webcam installed you can try the camshift.demo in C:\OpenCV2.0\samples\python
The deprecated stuff (C:\OpenCV2.0\samples\swig_python) does not work at the moment as somebody wrote above. The OpenCV People are working on it. Here is the full picture:

31/03/10 (hopefully) Next OpenCV Official Release: 2.1.0 is due March
31st, 2010.
link://opencv.willowgarage.com/wiki/Welcome/Introduction#Announcements
04/03/10 [james]rewriting samples for new Python    5:36 PM Mar 4th
via API    link://twitter.com/opencvlibrary
12/31/09 We've gotten more serious about OpenCV's software
engineering. We now have a full C++ and Python interface.
link://opencv.willowgarage.com/wiki/OpenCV%20Monthly
9/30/09 Several (actually, most) SWIG-based Python samples do not work
correctly now. The reason is this problem is being investigated and
the intermediate update of the OpenCV Python package will be released
as soon as the problem is sorted out.
link://opencv.willowgarage.com/wiki/OpenCV%20Monthly
I cannot get the example Python programs to run. When executing the Python command "from opencv import cv" I get the message "ImportError: No module named _cv".  There is a stale _cv.pyd in the site-packages directory, but no _cv.py anywhere.  See step 5 below.
MS Windows XP, VC++ 2008, Python 2.6, OpenCV 2.0
Here's what I have done.

Downloaded and ran the MS Windows installer for OpenCV2.0.
Downloaded and installed CMake
Downloaded and installed SWIG
Ran CMake. After unchecking "ENABLE_OPENMP" in the CMake GUI, I was able to build OpenCV using INSTALL.vcproj and BUILD_ALL.vcproj.  I do not know what the difference is, so I built everything under both of those project files.  The C example programs run fine.
Copied contents of OpenCV2.0/Python2.6/lib/site-packages to my installed Python2.6/lib/site-packages directory.  I notice that it contains an old _cv.pyd and an old libcv.dll.a.