The reason your example doesn't work has nothing to do with files.
example = ("Path/to/file%s", "w") % str(datetime.now())
The above is using the % operator with a tuple on the left, and a string on the right. But the % operator is for building strings based on a string template, which appears on the left of the %. Putting a tuple on the left just doesn't make sense.
You need to break what you want to do into more basic steps. You start with "I want to open a file whose name includes the current date and time". There is no way to directly do that, which is why you couldn't find anything about it. But a filename is just a string, so you can use string operations to build a string, and then open that string. So your problem isn't really "how do I open a file with the date/time in the name?", but rather "how do I put the date/time into a string along with some other information?". You appear to already know an answer to that question: use % formatting.
This makes sense; otherwise we'd have to implement every possible string operation for files as well as for strings. And also for everything else we use strings for. That's not the way (sane) programming works; we want to be able to reuse operations that already exist, not start from scratch every time.
So what you do is use string operations (that have nothing to do with files, and neither know nor care that you're going to eventually use this string to open a file) to build your filename. Then you pass that string to the file opening function open (along with the "w" string to specify that you want it writeable).
For example:
filename = "Path/to/file%s" % datetime.now()
example = open(filename, "w")
You can put it in one line if you want:
example = open("Path/to/file%s" % datetime.now(), "w")
But if you're relatively new to programming and to Python, I recommend you keep your small steps broken out until you're more comfortable with things in general.
example = ("Path/to/file%s" % str(datetime.now()), "w")