Just documenting this for myself to use later.
I have activestate activepython 2.5.1 installed. Copy the setup.py to the folder with the .py file. The contents of the setup.py are simply:
1 from distutils.core import setup
2 import py2exe
Run "python setup.py py2exe". Two folders will be created:
dist should have your .exe and all the required dlls.
Update: Forgot to mention that this is after you download and install py2exe.