See http://fastml.com/pylearn2-in-practice/ for description.
Here are the commands to execute for Windows:
set PYTHONPATH=%PYTHONPATH%;.
set THEANO_FLAGS=device=cpu
train.py adult.yaml
python predict.py softmax_regression_best.pkl adult\test.csv predictions.txt
And for Unix (untested):
export PYTHONPATH=$PYTHONPATH:.
export THEANO_FLAGS=device=cpu
train.py adult.yaml
python predict.py softmax_regression_best.pkl adult/test.csv predictions.txt