It means that by virtue of installing Python you've already got the standard library included. All you have to do is type "import socket" in your .py file and you can use everything in the socket module by typing socket. and the function name and arguments after the dot.
If you're clicking at things in your game instead of just typing in commands then your game uses a graphical user interface. If you want to do this note that Python has Tkinter built in its standard library which will easily allow you do create a GUI. You can also use third-party ones like PyQt, wxPython, or PyGame (which should have game-specific features but I've never used it so I can't be too sure).