In order to use the Quandl API with Python, use the following website to get started: https://www.quandl.com/tools/python
The installation should just be
pip install quandl
And then you can import it by using
import quandl
quandl.ApiConfig.api_key = 'whatever your key is'
Here is the Github page for it: https://github.com/quandl/quandl-python