What did you try? Did you try running as administrator? Sometimes I used to get that error, I don't know the exact reason, because it wasn't always happening. It just returns that error because your system doesn't allow the script to open the text file, maybe change your directory?  Try like this if you are using windows, type in search box inside BTCPazzle folder, type cmd and hit enter, then type python test.py hit enter, this should fix it.
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I tried everything. I ran it with administrator rights and changed the directory. Useless.
Moreover, if you do not write the received data to a file, but simply display it on the screen, then the script works great.