I cannot add Python mode!

Re “Did you install the Python mode?”:
But this is exactly I’m trying to figure out. How to add/install Python mode.

Re “I extracted the .zip file (in Downloads folder) into c:\Users\myName\Documents\Processing\modes and it worked.”:
I would try that too, but I don’t want to use drive C: (which is the default one) for such a task. I tried to change the Sketchbook folder to another drive --with the instructions @jafal gave me-- but Processing 4 refuses to do that or ignores it.
I placed instead under "\Processing\modes’ where Java is also placed. But Processing 4 ignores that too.