Python?

You do not need to explicitly download and install Python for this course. Python will be automatically installed as part of the Anaconda package described below. If you have already installed Python for some other reason, that is fine. Anaconda can co-exist with other Python installations. Just be aware, when you select a Python interpreter for a project, to select the Anaconda-based interpreter when you want to use the Anaconda environment.

Anaconda

Anaconda is a commercial product that bundles Python together with a large collection of tools and packages. It is specialized for data science applications (including machine learning). Installing data science specific packages tends to be complicated because they often contain components written in other languages such as C, C++, or Fortran. Those other components need to be compiled, requiring somewhat involved installation procedures. Anaconda takes care of that for you.

Proceed as follows:

Download the Anaconda Distribution for your platform. This distribution is free. There is support for Windows, Linux, and macOS. If you are using an ARM-based Mac, e.g., based on the M1 or M2 processor, be sure to download the ARM version of Anaconda for the Mac.
Run the Anaconda installer. You can access tutorial material on the Anaconda website, but you may need to create an account on their system to do that. Creating such an account is not required for this course, but you may find it useful anyway. The accounts are free.
The main tool in Anaconda is the "Anaconda Navigator." It provides a graphical interface to the package manager and a way to start various installed tools, as well as to install additional tools. If you play with Anaconda Navigator, be sure to close it before installing the other products mentioned (below).

Visual Studio Code

Visual Studio Code (VS Code) is a general-purpose text editor created by Microsoft. Although Anaconda comes with a development environment for Python (called Spyder), VS Code is widely used, supports many programming languages, and is quite powerful. You might find VS Code useful for many other classes and projects, making it worth learning.

Proceed as follows:

Download the VS Code installer from the main website (above). This tool is also free, and it also supports Windows, Linux, and macOS.
Run the installer.
When you first start VS Code, it will ask you some basic configuration questions (such as the theme you want to use). You should be sure to install the Python extension. You will probably also want the "Jupyter" extension. It may get installed automatically when you install the Python extension, so don't be surprised if it is already there.
Exit from VS Code and then start Anaconda Navigator. You should see a VS Code panel on the Navigator home screen where you can launch VS Code. When writing programs for this course, you will want to start VS Code from the Anaconda Navigator so that VS Code can easily see and activate the "conda environments" that we will be using. There are other ways to get VS Code to know about those environments, but starting it from the Anaconda Navigator seems like the easiest and most reliable way.

JetBrains DataSpell

DataSpell is an IDE by JetBrains for data science work. It has a similar look and feel as other JetBrains IDEs such as IntelliJ or AndroidStudio. It also has many conveniences that will help with your data science and machine learning projects. Note that DataSpell is a commercial product that normally requires a commercial license; there is no community edition. However, as a student you can get an educational license from JetBrains that allows you to use all of their commercial tools free of charge.

Proceed as follows:

Apply for an educational license from JetBrains by following the instructions on the linked page. You will need to create a JetBrains account to do this (creating the account is free). Be sure to use your school email address.
Download and install the JetBrains Toolbox application for your platform. Windows, Linux, and macOS are all supported. You can log into the toolbox application with your JetBrains account. This application makes it easy to install and upgrade any of the JetBrains IDEs. Your educational license allows you to use all of their commercial tools, not just DataSpell.
Once the toolbox application is installed, use it to install DataSpell. You can launch DataSpell from the toolbox application as well. When it first launches it will ask about license information. Provide your JetBrains account credentials and tell the tool to access your license online.
DataSpell should recognize your Anaconda installation automatically.