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Having a ".cmd" file isn't a good idea. For a start, it isn't 
Windows 9x compatible (and %~dp0 isn't available in 
command.com). Also, you need to include a way of passing 
any command line arguments on to the script. And 
finally, "start" probably isn't right. This will run the command 
in a new console window, rather than in the existing console.

A XXX.cmd file which just does @%~dp0\XXX.py %* is 
better, but I still don't think it's needed. Just adding ".py" to 
PATHEXT (which is something the user can do if they want, 
at the same time they add the Python scripts directory to 
their PATH) is enough, at least on NT/2000/XP.