When opening a file, Python does not search the path. You must specify the full path to open:
d = 'C:/desktop/James_Phantom_CT_Dec_16th/Images'
fp = open(d +'IM-0268-0001.dcm',"rb")
Edit: d is the string that will hold the path so that you don't have to re-type it for each file. fp will hold the file object that you will work with. The "rb" is the way you want to open the file:
r - read
w - write with truncate
a - append
r+ - read and write
Also, if working in windows, add "b" to work with binary files. See here.