Just head over to System->Help and Support, then type "programming" in the search box. The first link should lead to a mini TOC section. Click on "Learning how to program" and there you can find instructions for getting the PyGTK tutorial installed on your system.
Basically, start up a terminal and do the following:
$ sudo apt-get install python-gtk2-tutorial devhelp
The devhelp package is a GUI to access all installed documentation/tutorial on your system. If you've installed documentation for other software then you might find them listed in devhelp ;-)
Once installed, it's available under Applications->Programming.. naturally.