Trying to write and execute first Python script

[snippsat]

I then tried to run the script by right clicking on it and selecting ‘Open with --> Python’. A small command line window did come up but disappeared within a second.

Add this,use code as shown here when post code,look at BBCode.
This will prevent cmd to close,has to hit Enter.

print('one')
print('two')
print('three')
input('Press Enter to exit')

You should general to it from command line(cmd) or Anaconda Prompt.
Learning to use command line is important in programming.
This is like this,now could also drop last line.

(base) C:\Miniconda3>python first_script.py
one
two
three
Press Enter to exit

(base) C:\Miniconda3>

See that (base) is active,this most always be activated when use Anaconda3 or Miniconda.
Other to look into with Anaconda3 is conda and also pip.
So it's use to install stuff if needed,try conda if not Repo then pip.

Also if start Anaconda Navigator there are link to editor like Spyder or can start Jupyter Notebook.