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Sage is a (very, very big) python library, and it does not (natively) run on Windowz. "Pure" python is smaller, much more lightweight and easier to install and run.

Just in case, note that .sage and .py are file extensions. In fact, Sage internally "preparses" every .sage file and converts it into .py file. So in particular, if you have a file named f.sage, then do not keep a file named in the same directory, as Sage would overwrite it!