I created a script that runs when I press a combination of keys, it means that I call my "script.py" from my "keyboard customize shortcuts".
It does not work properly because when I run my script from the terminal, I have to type my sudo password.
Just to be more clear, if I run my script without sudo, it shows this: ImportError: You must be root to use this library on linux.
So, it must be like this sudo python3 script.py, then it ask for my password (which I rather to not).
There could be a few things to blame for this:

You are logged in as root by default (not recommended) and so when you installed the library with pip3 install theLibrary, you installed it on the sudo account. Trying running sudo pip3 install theLibrary, or just create a new user account.
You are running this in IDLE, and you did not provide it with root privileges. You could fix this by running sudo idle first.
The quick fix: You could log in as sudo before running anything and stay as sudo for the duration of your session (so you wouldn't have to type your password every time) by running sudo -i and then typing your password once when prompted.
How to run script on Linux without password?