I reproduced the problem.
- "python.exe idle.py"  works (with many warnings)
- "pythonw.exe idle.py" fails

pythonw.exe is a Windows (i.e. not a console) application, so sys.stderr
points to an invalid file descriptor; printing lot of warnings raises an
exception when the file tries to flush()...

As an immediate workaround, you may delete everything in the directory named
  c:/Documents and Settings/%USERNAME%/.idlerc
or if you feel it, add the missing entries in the file config-highlight.cfg.

I'll try to correct this problem for python2.5: replace 
   sys.stderr.write(warning) 
with
   try:
      sys.stderr.write(warning) 
   except IOError:
      pass