I am building a window application written in C++. I'd like to utilize several python libraries. 
I don't need any fancy Python interop here. My method is like this:

Open a thread to run Python interpreter. 
Send commands from C++ to the Python interpreter. The C++ may need to write some intermediate files for the interop. 

This method is dirty, but it will work for a lot of interpreter-like environments, e.g. gnuplot, lua.
My question is that what kind of API are there for me to use for this task. Maybe I need some Win32 API?
EDIT: I don't need any Python specific. I really want the general method. So that my application could also work with gnuplot, etc..
ActivePython (http://www.activestate.com/activepython/downloads) installs itself as an ActiveScript engine.The ProgID is Python.AXScript.2 . So you can use it with COM via the Windows standard IActiveScript interface. Read up on it.
Distribution is another matter. Either you require that customers have it, or you could try and extract the juicy bits from the ActiveState's package, or maybe there's an official way to do unattended setup...
Embed a Python interpreter in a (Windows) C++ application