I see the file Pythonw.exe, but nothing happens when I click on it.
Mark,
The Python non-console script interpreter pythonw.exe, is not the PythonWin IDE ( http://sourceforge.net/projects/pywin32/files/pywin32/Build 218/ )
ArcGIS no longer ships the PythonWIn IDE and its pyWin32 based GUI. Your default ArcGIS 10.1 or 10.2 install will have only the native Python GUI--IDLE, or Esri's Python console in ArcMap.
If you'd like to use the PythonWin IDE current build is 218 and you'll want the Python 2.7 specific build, pywin32-218.win32-py2.7.exe
Of course this is all a bit shaky on Windows 8.1 where you will need to install ArcGIS 10.1 or 10.2 with compatibility settings, although ArcGIS 10.2.1 seems to be stable.
Stuart