I have an example for you. [beginning:end] works by returning a slice of a string, including the letter at beginning but excluding the end.
For example, s="abcd", s[1:len(s)] will return "bcd". To use "bcd", you may want to save it to a variable, let's say s1=s[1:len(s)].
So for the pyg latin, we are trying to take the slice of word[1:len(word] + first + pyg. You need to save the slice to new_word. You should be able to solve this question from here, but I included passing code just in case.
As far as I can tell, " Use [1:len(new_word)] to do this" doesn't make sense, should be " Use [1:len(word)] ", because we don't have "new_word" yet.
pyg = 'ay'
original = raw_input('Enter a word:')
if len(original) > 0 and original.isalpha():
word = original.lower()
first = word
new_word= word[1:len(word)] +first +pyg