O módulo py2exe é uma extensão à biblioteca distutils, que converte scripts de Python, com extensão *.py em ficheiros executáveis no windows, os tradicionais *.exe.

Não, mas está disponível para download em: http://sourceforge.net/project/showfiles.php?group_id=15583

Em primeiro lugar, tem que se fazer o download e instalar o módulo (vem num exe, por isso é simples). De seguida, cria-se um script python que vai conter as instruções para tornar o script de interesse executável. Supondo como exemplo o ficheiro quadrado.py com a seguinte estrutura:

n1 = raw_input('Introduza um número\n')
print n1**2
raw_input # Para que o programa não termine imediatamente

O que é necessário é então um script, chamado por exemplo setup.py, com a seguinte estrutura:

from distutils.core import setup # Importa-se só o que é necessário
import py2exe
 
setup(console=['quadrado.py'])

De seguida, basta aceder à linha de comandos (p.ex: win-R e digitar cmd), navegar até à directoria onde se encontrem ambos os ficheiros (quadrado.py e setup.py) e fazer: python setup.py py2exe. Muitas linhas de output depois, terão aparecido na pasta onde se encontra duas novas directorias: dist e build. A primeira, contém tudo o que é necessário à execução do quadrado.exe (que também lá se encontra), a segunda, pode-se apagar, porque contém apenas ficheiros temporários e necessários à "compilação" do script.

Está aqui um exemplo de tudo o que o py2exe oferece (.dll, .exe, COM services, etc..).

# A setup script showing advanced features.
#
# Note that for the NT service to build correctly, you need at least
# win32all build 161, for the COM samples, you need build 163.
# Requires wxPython, and Tim Golden's WMI module.
 
# Note: WMI is probably NOT a good example for demonstrating how to
# include a pywin32 typelib wrapper into the exe: wmi uses different
# typelib versions on win2k and winXP.  The resulting exe will only
# run on the same windows version as the one used to build the exe.
# So, the newest version of wmi.py doesn't use any typelib anymore.
 
from distutils.core import setup
import py2exe
import sys
 
if len(sys.argv) == 1:
    sys.argv.append("py2exe")
    sys.argv.append("-q")
 
class Target:
    def __init__(self, **kw):
        self.__dict__.update(kw)
        # for the versioninfo resources
        self.version = "0.5.0"
        self.company_name = "Sem compania"
        self.copyright = "Sem copyright"
        self.name = "exemplo py2exe"
 
################################################################
# A program using wxPython
 
# The manifest will be inserted as resource into meuSoftware_wx.exe.  This
# gives the controls the Windows XP appearance (if run on XP ;-)
#
# Another option would be to store it in a file named
# meuSoftware_wx.exe.manifest, and copy it with the data_files option into
# the dist-dir.
 
 
manifest_template = '''
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<assembly xmlns="urn:schemas-microsoft-com:asm.v1" manifestVersion="1.0">
<assemblyIdentity
    version="5.0.0.0"
    processorArchitecture="x86"
    name="%(prog)s"
    type="win32"
/>
<description>%(prog)s Program</description>
<dependency>
    <dependentAssembly>
        <assemblyIdentity
            type="win32"
            name="Microsoft.Windows.Common-Controls"
            version="6.0.0.0"
            processorArchitecture="X86"
            publicKeyToken="6595b64144ccf1df"
            language="*"
        />
    </dependentAssembly>
</dependency>
</assembly>
'''
 
RT_MANIFEST = 24
 
test_wx = Target(
    # used for the versioninfo resource
    description = "A sample GUI app",
 
    # what to build
    script = "meuSoftware_wx.py",
    other_resources = [(RT_MANIFEST, 1, manifest_template % dict(prog="meuSoftware_wx"))],
    icon_resources = [(1, "icone.ico")],
    dest_base = "teste_wx")
 
test_wx_console = Target(
    # used for the versioninfo resource
    description = "A sample GUI app with console",
 
    # what to build
    script = "meuSoftware_wx.py",
    other_resources = [(RT_MANIFEST, 1, manifest_template % dict(prog="meuSoftware_wx"))],
    dest_base = "test_wx_console")
 
################################################################
# A program using early bound COM, needs the typelibs option below
 
test_wmi = Target(
    description = "Early bound COM client example",
    script = "test_wmi.py",
    )
 
################################################################
# a NT service, modules is required
 
myservice = Target(
    # used for the versioninfo resource
    description = "A sample Windows NT service",
    # what to build.  For a service, the module name (not the
    # filename) must be specified!
    modules = ["MyService"]
    )
 
################################################################
# a COM server (exe and dll), modules is required
#
# If you only want a dll or an exe, comment out one of the create_xxx
# lines below.
 
interp = Target(
    description = "Python Interpreter as COM server module",
    # what to build.  For COM servers, the module name (not the
    # filename) must be specified!
    modules = ["win32com.servers.interp"],
##    create_exe = False,
##    create_dll = False,
    )
 
################################################################
# COM pulls in a lot of stuff which we don't want or need.
 
excludes = ["pywin", "pywin.debugger", "pywin.debugger.dbgcon",
            "pywin.dialogs", "pywin.dialogs.list"]
 
setup(
    options = {"py2exe": {"typelibs":
                          # typelib for WMI
                          [('{565783C6-CB41-11D1-8B02-00600806D9B6}', 0, 1, 2)],
                          # create a compressed zip archive
                          "compressed": 1,
                          "optimize": 2,
                          "excludes": excludes}},
    # The lib directory contains everything except the executables and the python dll.
    # Can include a subdirectory name.
    zipfile = "lib/shared.zip",
 
    service = [myservice],
    com_server = [interp],
    console = [test_wx_console, test_wmi],
    windows = [test_wx],
    )

Página Oficial (Em inglês) - Py2exe