Expect a roguelike to take at least three or four months of fairly steady study before you're likely to be able to even know how to start one. Not intended to be discouraging, but it's not for the faint of heart. Almost all of them are more difficult to write than they'd seem, but they are doable, if daunting, even for a beginner so long as you put in the work.
ThinkPython is incredibly well-written and very, very structured in how it presents information. Don't skip
anything, even if it doesn't seem germane right away, I promise you that it's relevant down the line. I might even suggest taking a notepad and jotting down notes on paper as you go through the book to help retention--not something that's required, but it might help you out a little. It's what I do on my first trip through any new language, and I still do it despite knowing about twenty different ones.
ThinkPython is sold as a dead-tree book, but you can
read the entire thing online or
download a PDF.
Python isn't compiled (well, it
can be, but for your purposes it's not). You'll use an interpreter, at least at the start. ThinkPython will explain it to you in the first chapter, but it never gives you a link.
This is the official Windows Python package, and it includes IDLE, which is what ThinkPython assumes you're using. You won't want to use IDLE later when you're making a real program, but for learning it'll do you just fine.
If you have a technical issue with Python, try using
the Python Beginner's Guide before asking questions here; in all likelihood that's where I or anyone else offering help would go to answer your question, so you might be able to easily save a step.