A way to do it by using a primality test:
def isPrime(n):
if n == 2: return True
if n % 2 == 0 or n < 2: return False
for i in range(3, int(n**0.5)+1, 2):
if n % i == 0: return False
return True
if __name__ == "__main__":
n = count = 1
while count < 10001:
n += 2
if isPrime(n): count += 1
print n
Runs in 0.2 seconds. Doesn't matter for this problem but, as others have said, sieve is more efficient.