I found a solution to add files in library.zip via: Extend py2exe to copy files to the zipfile where pkg_resources can load them.
I can access to my file when library
You shouldn't be using pkg_resources to retrieve the library.zip file. You should use it to retrieve the added resource.
Suppose you have the following project structure:
setup.py
foo/
__init__.py
bar.py
media/
image.jpg
You would use resource_string (or, preferably, resource_stream) to access image.jpg:
img = pkg_resources.resource_string(__name__, 'media/image.jpg')
That should "just work". At least it did when I bundled my media files in the EXE. (Sorry, I've since left the company where I was using py2exe, so don't have a working example to draw on.)
You could also try using pkg_resources.resource_filename(), but I don't think that works under py2exe.