If you are familiar with the Linux command line, you can also open up a terminal window from the Tools->Terminal menu.
Once this appears, you should enter the following
python <filename.py>
But also check out
the Python Hello World starter pack that serves as a template for Python projects in Codio and the .codio file has been configured so you can run the contained
hello_world.pyfile
or the Personal Playground assignment in the Python course where the .codio file has been configured so you can Run any 'current' file.
See https://docs.codio.com/project/ide/boxes/#customizable-run-menu for more on how you can configure the .codio file