Under the Build menu, I can see 'Execute' option, but it is greyed out.
The only option available is 'Set Includes and Arguments'. When I click that both fields are already filled out. What do I have to write there?
I don't need to configure anything in Geany. I just hit F5 and the current module is executed.
Are you sure that your file is recognized as a Python source file? Which version of Geany are you using (I am using the SVN version, which is pretty stable; damn, it's rock solid stable ;-))? I have a slightly more developed configuration for Python compilation in my version, but the commands are the same and it works very well.