I am trying to learn python (coming from PHP), and want to set up the simplest web server so I can start coding.
I found the integrated HTTP server, so I figured it
Python is for writing programs in general, not only web-sites.
SimpleHTTPServer
is really just a trivial HTTP server, it serves files. It doesn't try to interpret code.
If you want to do web-development with Python, you should be using a web framework. web.py is a good choice, you can check its tutorial. Another option is Django, which also has a brilliant tutorial.
Both of them have simple development servers built in, so you'll be able to start experimenting easily.