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Hello, @Cyrille! I am not completely sure if there are differences between Windows and Linux (I use Linux), but I think the following three procedures are OS-independent:

If you launch the Sage Notebook from the terminal (command line), you can move first to the same directory where your latex_milp.py file is, and then launch the Sage Notebook with sage -n jupyter.
When you open the Sage Notebook, the first screen that is shown to you has a tree of folder through which you can navigate on your computer. Just move to the folder where your latex_milp.py is, and then open a new notebook with the "new" menu on you right.
When I am feeling a little lazy, I look for the file, I make right click on it, and select the "copy" option. Then I move to my Sage Notebook, write load(""), and in the middle of the quotation marks, I make right click and give the "paste" command. That copies the complete location of my file. For example, suppose I have my file on "/home/user/Documents/latex_milp.py". Exactly that location should appear in the middle of the load command. (I am not completely sure that this works on Windows.)

I hope this helps! If not, you should follow @ortollj's suggestion, and give us a little bit of additional info on the location of your file, so we can help.