Hi Mariela,
It seems indeed that from within python the location of the cloudy.exe file is not known.
You can solve this issue in two ways:
1) define an environment variable CLOUDY_EXE that points to the location of the cloudy.exe file. It can be done in your .cshrc, .profile, .tcshrc, depending on your shell. Notice you have to try is it works from a new terminal, for the variable to be defined.
2) define the location of the cloudy.exe at the start of your program, just after you import pyCloudy:
pc.config.cloudy_exe = 'WHERE IS YOUR cloudy.exe'
Hope it helps,
Chrisotphe