You need your "constructor" method to be named __init__, not _init_. As it is written, your grid and create_widgets methods never get called since _init_ never gets called.

Overview

No, you don't have to "draw a rect, then make a loop". What you will have to do is import a GUI toolkit of some sort, and use the methods and objects built-in to that toolkit. Generally speaking, one of those methods will be to run a loop which listens for events and calls functions based on those events. This loop is called an event loop. So, while such a loop must run, you don't have to create the loop.

Caveats

If you're looking to open a window from a prompt such as in the video you linked to, the problem is a little tougher. These toolkits aren't designed to be used in such a manner. Typically, you write a complete GUI-based program where all input and output is done via widgets. It's not impossible, but in my opinion, when learning you should stick to all text or all GUI, and not mix the two.

Example using Tkinter

For example, one such toolkit is tkinter. Tkinter is the toolkit that is built-in to python. Any other toolkit such as wxPython, PyQT, etc will be very similar and works just as well. The advantage to Tkinter is that you probably already have it, and it is a fantastic toolkit for learning GUI programming. It's also fantastic for more advanced programming, though you will find people who disagree with that point. Don't listen to them.

Here's an example in Tkinter. This example works in python 2.x. For python 3.x you'll need to import from tkinter rather than Tkinter.

import Tkinter as tk

class Example(tk.Frame):
    def __init__(self, parent):
        tk.Frame.__init__(self, parent)

        # create a prompt, an input box, an output label,
        # and a button to do the computation
        self.prompt = tk.Label(self, text="Enter a number:", anchor="w")
        self.entry = tk.Entry(self)
        self.submit = tk.Button(self, text="Submit", command = self.calculate)
        self.output = tk.Label(self, text="")

        # lay the widgets out on the screen. 
        self.prompt.pack(side="top", fill="x")
        self.entry.pack(side="top", fill="x", padx=20)
        self.output.pack(side="top", fill="x", expand=True)
        self.submit.pack(side="right")

    def calculate(self):
        # get the value from the input widget, convert
        # it to an int, and do a calculation
        try:
            i = int(self.entry.get())
            result = "%s*2=%s" % (i, i*2)
        except ValueError:
            result = "Please enter digits only"

        # set the output widget to have our result
        self.output.configure(text=result)

# if this is run as a program (versus being imported),
# create a root window and an instance of our example,
# then start the event loop

if __name__ == "__main__":
    root = tk.Tk()
    Example(root).pack(fill="both", expand=True)
    root.mainloop()

The way you can do this using pyautogui is with their locating methods. You will need a picture (for example of the OK box) and then you can have pyautogui find it on the screen and give you its coordinates. Check out the official documentation on this.