I get this error when I try to use one of the py2exe samples with py2exe.
File \"setup.py\", line 22, in ? import py2exe ImportError: no module named py2e
Seems like you need to download proper py2exe distribution.
Check out if your c:\Python26\Lib\site-packages\ contains py2exe folder.
c:\Python26\Lib\site-packages\
py2exe