Gaston Hillar has written a very nice introductory article on using PyOpenCL, to be part of a two-part series. I'm already looking forward to the second part. :)

If you'd like to try to follow along with the article, check out the OpenCL installation howto, then follow the easy installation instructions for PyOpenCL, and you'll be in business. If you find that you need help in the process, help is available.