It could be that the build command in Geany is not set up correctly.
Choose "Build" from the top menu bar and then "Set Build Command".
Down near the bottom of the window there should be a bit labeled "execute".
Have a look at what is entered there.
Here's an example:
The "%f" refers to the current file, the "python" bit is the command that should launch python on your system.
If something there looks wrong, try opening a console in the directory where your program is stored and type:
(Obviously, replace "filename.py" with the actual name of your file).
If this doesn't work, post back with what happened.