Something like this?

a = "abcde"
b = "ab2de"

for index, char in enumerate(a):
    if not b[index] == char:
        print(f"First mismatch on index {index}: {char} is not {b[index]}")

Would print: First mismatch on index 2: c is not 2

Another possibility would be to create a list of 3-way-tuples, where the first element would be the index, the second element would be the char in a and the third element would be the char in b:

a = "abcde"
b = "ab23e"
print([(index, char, b[index]) for index, char in enumerate(a) if not b[index] == char])

Would result in [(2, 'c', '2'), (3, 'd', '3')]

Try this:

s1 = 'HELPMEPLZ'
s2 = 'HELPNEPLX'
[i for i in xrange(len(s1)) if s1[i] != s2[i]]

It will return:

> [4, 8]

The above solution will return a list with the indexes in sorted order, won't create any unnecessary intermediate data structures and it will work on Python 2.3 - 2.7. For Python 3.x replace xrange for range.

Encapsulate your test in a try/catch in case of IndexError, which means that the second string is shorter than the first one, which means the two strings differ.

for letter in range(len(string1)):
    try:
        if string1[letter] != string2[letter]:
            print("Strings differ at postion {}".format(letter + 1))
            break
    except IndexError:
            print("Strings differ at postion {}".format(letter + 1))
            break

Edit: have you thought about the case where string1 is shorter than string2? I think your algorithm will assume both strings are identical.

You can use ndiff in the difflib module to do this. It has all the information necessary to convert one string into another string.

A simple example:

import difflib

cases=[('afrykanerskojęzyczny', 'afrykanerskojęzycznym'),
       ('afrykanerskojęzyczni', 'nieafrykanerskojęzyczni'),
       ('afrykanerskojęzycznym', 'afrykanerskojęzyczny'),
       ('nieafrykanerskojęzyczni', 'afrykanerskojęzyczni'),
       ('nieafrynerskojęzyczni', 'afrykanerskojzyczni'),
       ('abcdefg','xac')] 

for a,b in cases:     
    print('{} => {}'.format(a,b))  
    for i,s in enumerate(difflib.ndiff(a, b)):
        if s[0]==' ': continue
        elif s[0]=='-':
            print(u'Delete "{}" from position {}'.format(s[-1],i))
        elif s[0]=='+':
            print(u'Add "{}" to position {}'.format(s[-1],i))    
    print()      

prints:

afrykanerskojęzyczny => afrykanerskojęzycznym
Add "m" to position 20

afrykanerskojęzyczni => nieafrykanerskojęzyczni
Add "n" to position 0
Add "i" to position 1
Add "e" to position 2

afrykanerskojęzycznym => afrykanerskojęzyczny
Delete "m" from position 20

nieafrykanerskojęzyczni => afrykanerskojęzyczni
Delete "n" from position 0
Delete "i" from position 1
Delete "e" from position 2

nieafrynerskojęzyczni => afrykanerskojzyczni
Delete "n" from position 0
Delete "i" from position 1
Delete "e" from position 2
Add "k" to position 7
Add "a" to position 8
Delete "ę" from position 16

abcdefg => xac
Add "x" to position 0
Delete "b" from position 2
Delete "d" from position 4
Delete "e" from position 5
Delete "f" from position 6
Delete "g" from position 7

def first_difference(str1, str2):
    for a, b in zip(str1, str2):
        if a != b:
            return a+b

Usage:

>>> first_difference('dog','doc')
'gc'

But as @ZdaR pointed out in a comment, result is undefined (in this case None) if one string is a prefix of the other and has different length.

You could use difflib, and do it like this:

from difflib import Differ

def appendBoldChanges(s1, s2):
    "Adds <b></b> tags to words that are changed"
    l1 = s1.split(' ')
    l2 = s2.split(' ')
    dif = list(Differ().compare(l1, l2))
    return " ".join(['<b>'+i[2:]+'</b>' if i[:1] == '+' else i[2:] for i in dif 
                                                           if not i[:1] in '-?'])

print appendBoldChanges("britney spirs", "britney sprears")
print appendBoldChanges("sora iro days", "sorairo days")
#Output:
britney <b>sprears</b>
<b>sorairo</b> days

a = 'testing this is working \n testing this is working 1 \n'
b = 'testing this is working \n testing this is working 1 \n testing this is working 2'

splitA = set(a.split("\n"))
splitB = set(b.split("\n"))

diff = splitB.difference(splitA)
diff = ", ".join(diff)  # ' testing this is working 2, more things if there were...'

Essentially making each string a set of lines, and taking the set difference - i.e. All things in B that are not in A. Then taking that result and joining it all into one string.

Edit: This is a convoluted way of saying what @ShreyasG said - [x for x if x not in y]...