create a test.py with this content:
print("test")

run this file from command line by redirecting the output:
test.py >out.log

You get:
----
close failed in file object destructor:                                                                                                     
Error in sys.excepthook:                                                                                                                    
                                                                                                                                            
Original exception was:                
----

This does not happen if you call the script by using "python test.py >out.log"

Also this does not reproduce with Python 3.1 but it does reproduce with latest Python 2.6 and 2.7 under windows.

You can switch the registered python interpreter via registry key:

[HKEY_CLASSES_ROOT\Python.File\shell\open\command]
@="\"C:\\lib\\Python27\\python.exe\" \"%1\" %*"

I've got the same problem with 2.7.1 (both 32bit and 64bit versions) under W7 SP1 64bit. Under WXP SP3 32bit it works OK. What's worse the output file is empty.

3.2 (tested 64bit version) behaves even worse -- it does not print the error like 2.7 but the resulting file is empty as well!

I was not able to reproduce this on Python 2.7 x64 or Python 3.2 x64 on Win 7 SP1.

I am curious what the output is if you just run test.py, do you still get an error?

Running it without redirecting output, like
c:\p\test.py
works OK

This post: http://stackoverflow.com/questions/3018848/cannot-run-python-script-on-windows-with-output-redirected
suggests that there is a difference between "python test.py > out.log" and "test.py > out.log".
It also suggests a change in the registry that fixed the problem for me some months ago. Can you try it?

@Amaury - That sounds exactly like the issue described.

To summarize the error is caused because in some versions of windows there is a bug that causes the handles to stdin/stdout to not be inherited correctly for apps run from the console "via file association".

This is the kb article, http://support.microsoft.com/default.aspx?kbid=321788

In fact looks like this issue was discussed in the Python mailing list in 2004 as well, see http://mail.python.org/pipermail/python-bugs-list/2004-August/024923.html

Thanks, the fix looks working.
The questions are:
a) can this situation be detected at runtime to provide better error message?
b) can it be detected during the installation so that the installation program can offer to the user to set the flag (or it could be set always? are there any disadvantages in doing so?}

I've seen the same question/answer on other forums, about Perl, Lua and Javascript http://stackoverflow.com/questions/3018848/cannot-run-python-script-on-windows-with-output-redirected
but nobody suggested to set this flag by default. I don't know if it can have unwanted effects.