Sublime comes with it’s own version of python that it uses internally, but you can’t use it to run arbitrary python code. If you want to write and run your own python code, the first thing you need to do is install python.
It’s not recognized because it’s either not installed or it’s installed but it isn’t in your path. If you haven’t installed python yet, when you do make sure you read everything carefully; the installer gives you the option to update the path for you. If you’ve already installed python and didn’t do that, then add the python install location to your path to get things working for you.
My guess would be that if you don’t know what Anaconda is you can probably get away with just using regular Python (and select a tutorial course that doesn’t do anything Anaconda specific) until you get a little more experience under your belt.