1) Create in OOo user data a sub-folder /Scripts/python/

2) Modify pythonscript.py to enable the logging of errors:
# Configuration ----------------------------------------------------
#LogLevel.use = LogLevel.NONE                # production level
LogLevel.use = LogLevel.ERROR               # for script developers
#LogLevel.use = LogLevel.DEBUG               # for script framework developers
LOG_STDOUT = False                           # True, writes to stdout (difficult
on windows)
                                            # False, writes to
user/Scripts/python/log.txt

3) Open OpenOffice.org.
   Menu Tools > Macros > Execute macro
   Then click then Cancel button

4) Look at the file log.txt in user folder /Scripts/python/
You will see an error message like this one:

Sun Nov 21 16:52:42 2010 [ERROR] DirBrowseNode error: Unable to create Content!
 while evaluating vnd.sun.star.tdoc:/1/Scripts/python
Sun Nov 21 16:52:42 2010 [ERROR] <class
'pythonscript.com.sun.star.ucb.ContentCreationException'>: Unable to create
Content! 
  C:\Program Files\OpenOffice.org 3\Basis\program\pythonscript.py:579 in
function getChildNodes() [contents = self.provCtx.sfa.getFolderContents(
self.rootUrl, True )]

This does not prevent scripts to run, but it is very disturbing when you are
debugging your own scripts.