I recently used py2exe to create an executable for post-review for sending reviews to ReviewBoard.
This was the setup.py I used
from distutils.core import setup
import py2exe
setup(console=['post-review'])
It created a directory containing the exe file and the libraries needed. I don't think it is possible to use py2exe to get just a single .exe file. If you need that you will need to first use py2exe and then use some form of installer to make the final executable.
One thing to take care of is that any egg files you use in your application need to be unzipped, otherwise py2exe can't include them. This is covered in the py2exe docs.