I\'m trying to build a package from source by executing python setup.py py2exe
This is the section of code from setup.py, I suppose would be relevant:
(new answer, since the other answer describes an alternate solution)
You can take the files from the WinSxS directory and copy them to the C:\Program Files\Microsoft Visual Studio 9.0\VC\redist\x86\Microsoft.VC90.CRT directory (normally created by Visual Studio, which you don't have). Copy them to get the following structure:
+-Microsoft.VC90.CRT
| |
| +-Microsoft.VC90.CRT.manifest
| +-msvcm90.dll
| +-msvcp90.dll
| +-msvcr90.dll
Then, you should be able to run the setup program (still excluding msvcp90.dll, as in the other answer), and it should successfully find the files under Microsoft.VC90.CRT and copy them as data files to your bundle.
See the py2exe tutorial for more information.