Hey,
From your given Output I can see that you try to execute the script with the use of relative module names ("-m" parameter). If you have installed the Check Point API Python SDK as it is mentioned in the linked GitHub page the script execution should be possible by simple typing
"python.exe import_export_package.py" [with python in the path variable as a requirement]
PS C:\Users\user\Desktop\Check Point Scripts\Scripting_Mgmt_CLI\ExportImportPolicyPackage-masterNEW> python.exe import_export_package.py
Welcome to the Policy Package Import/Export Tool.
What would you like to do?
1. Import a package
2. Export a package
99. Exit
As "ExportImportPolicyPackage-master" is your current working directory related to your screenshot the only issue I can think of is a copy/paste mistake. Please double check if the Folder "exporting" within ExportImportPolicyPackage contains the file "Export_access_rulebase" as well as all the other required files. In sum you should see 16 files in there, 8 of these should have the .py ending. In the case of some files being not present, try to download the repository as a zip again and proceed with step one.
Regards,
Maik