Stand-alone is a confusing and misleading term, used to refer to various categories of computer programs, but rarely in a consistent fashion. The term usually tries to draw some distinction between programs that are run directly by the user by giving some kind of command to the operating system and those programs that are invoked by other programs.
But this distinction does not stand up to scrutiny, since the computer has to be running some kind of program that receives the user command to begin with, thus all programs are launched by other programs (with the sole exception of the bootstrap loader), and there is really no such thing as code that "stands alone".
Another distinction might be drawn between those programs that run as operating system processes and those that are loaded as an add-on to the context of an existing process, such as a plugin. This distinction may make sense, except that here the term "stand-alone" has been used inconsistently: for instance, on the Macintosh platform, it was often the plugin code that was referred to as "stand-alone".
A less ambiguous terminonolgy would refer to "application" and "non-application" code, since "application" seems to be a commonly-accepted cross-platform term for a program that runs as a separate process, invoked as a direct result of some user action. The "non-application" code then has to be loaded and run as part of the process context of the "application" code, and there is no ambiguity about which is which.
A standalone application lets you start your own "python application" directly by clicking on an icon on the desktop on the phone (not having to open the python interpreter, "run script" etc. anymore).
The process to create a standalone app is a bit tricky, but if you have walked once successfully through it, then it is straight forward.
The resulting standalone app file is called myfirst.sis and is found in your C:\myapps folder.