Is it supposed to? The Python file icon shows up, and I can run python programs, but the editor seems to be the plain text editor--no syntax highlighting, no (relevant) context menu entries....
Well, I don't know, as I have not tested it, currently support is only for eclipse current release version, that is, version 3.0.1.
Having said that, it seems it is not opening with the pydev editor anyway. To check it, try to right click the file and see if the 'open with' option shows 'python editor' as default (or if at least it appears there). If not, you can go to windows->preferences->workbench->file associations and check if files *.py are associated with the 'Python Editor' - that is, pydev.