Watch the St. James online guitar lesson by Jeff McErlain from Soloing the Changes
The song is a simple eight bar form, and I put it in Dm. The D minor blues scale works very well over the song, and you should start with that. Since the changes move by fairly quickly, once again I would choose which chord to outline first other than the D minor. The progression is made up of three chords: Dm, Bb7 and A7. The first chord I'd dig into is the A7, which is spelled A-C#-E-G. The Dm scale is D-E-F-G-A-Bb-C, so we can use the C# to cover the sound of the A7 chord. In scale terms, that give us a D harmonic minor scale: D-E-F-G-A-Bb-C#, that's a major scale with a raised 7th. What we should see is that we need to use a C# when playing the A7 chord if we really want to make these changes. Spend lots of time on that as this sound is quite common; we've already encountered it in "Weepy Guitar".