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There are two ways to do it: 1) you can shift-enter in the IDLE environment, that will move to the next line.
2) Go to file->new and write the code in it, then save as .py (like foo.py), then hit F5 and the script will execute. (This instruction may not be verbatim, as I don't have the Python GUI here, but you may understand it nevertheless. Ask away if you didn't understand something)
Correction: I don't think the first way is feasible, I was likely confused with something else.
you can also use python scripter or the second option above is good.
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I also struggled with this at first. I found the second answer from bmp (File>New Window or ctrl+N) to be the best solution. The big difference being that you have to save and run your module (Run>Run Module or F5) to see the results/debug. It's basically like a Text Editor with a direct link to the Python Shell.