Expanding a bit on Harley's answer...
When the Python interpreter reads a source file, it executes all of the code found in it. Before executing the code, it will define a few special variables. For example, if the python interpreter is running that module (the source file) as the main program, it sets the special __name__ variable to have a value "__main__". If this file is being imported from another module, __name__ will be set to the module's name.
In the case of your script, let's assume that it's executing as the main function, e.g. you said something like
python threading_example.py