Hi
What OS?
Does the LED light up when you plug the board into the USB?
Python is a language interpreter, it is only needed to run python applications (such as pronterface)
step 1) the hardware has to recognize the FTDI
I suspect your running windows?
Open up your device manager
Look at the serial ports, plug in the Sanguinololu, does the LED turn on? Does the computer now show an additional serial port?
Once this is working we can move on to step 2.