<p>I thought I heard that <a href="http://www.py2exe.org/" rel="noreferrer">py2exe</a> was able to do this, but I never figured it out.  Has anyone successfully done this?  Can I see your setup.py file, and what command line options you used?</p>

<p>Basically I'm thinking of it giving me a single executable file that does something like unzips itself to maybe /temp and runs.</p>

No, it's doesn't give you a single executable in the sense that you only have one file afterwards - but you have a directory which contains everything you need for running your program, including an exe file.
I just wrote
this setup.py
today. You only need to invoke
```
python setup.py py2exe
```
.