A sample of Setup.py for making a single EXE file.

from distutils.core import setup
import py2exe, sys, os

#Usage : python setup.py py2exe

sys.argv.append('py2exe')

setup(
    options = {'py2exe': {'bundle_files': 1, 'compressed': True}},
    #windows = [{'script': "test.py"}],
    console = ['test.py'],
    zipfile = None,
)