The Windows installer is currently not signed . This is why you will see a Windows warning dialog about unknown origin.
To make OpenSCAD for python actually work you need to install Python 3.11. To Make it work follow these steps:

Download and execute the OpenSCADInstaller to install OpenSCAD in your windows

Download and install Python 3.11

In case the installer fails to create a proper desktop symbol, please grab the openscad.exe inside the 'bin' directory and link it to the desktop/taskbar

create a test.py containing something simple like : from openscad import * | cube().output()

Lauch OpenSCAD and enable Feature "Python Engine"

Open test.py and confirm security warning

press F5/F6 to see the cube

extend the code ...

dont hesitate to ask on IRC Channel. or in Reddit if its not working as expected.