just can tell you from my experience. It sounds like your application was either freezing at some stage (e.g. you give a path to a pic in the script, but that path does not exist)
(just one excample that is freezing your script)
from graphics import *
pic = graphics.Image.open('E:\\my_application\\pics\\my_pic.png')
or your script is doing an invinite loop (as shubhendra mentioned before)
In both cases: You can force the python script to end whatever it is doing by pressing the menue button for about 2 seconds, in the small top left popup-window you'll find all currently running programms, choose python and than press the "c"-button.