Django does not install correctly on windows machine
The default behavior for cmd is to simply "open" the file, which in the case of .py for you is associated with a text editor (me too). Try python django-admin.py startproject.
To make it fool proof, locate your python.exe and type in \path\to\python.exe \path\to\django-admin.py startproject myproject
Actually, you said it worked for setup.py install so it sounds like you have the python working correctly.
In my windows I'm able to install the django by running the python file setup.py install.
But after that, I'm unable to start a project by saying django-admin.py startproject newsite. All it gives me is opening a textfile showing the django-admin.py! 
Show me a way out guys