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
For the record, my very similar problem was caused by using a Cygwin prompt. Using as standard cmd.exe shell instead worked (given all paths and correctly installed versions of python).
This was because (stupid me) the Cygwin install had pulled down it's own version of /usr/bin/python. I equally fixed it by adding the Windows installed python location to the head of the Cygwin PATH=/cygdrive/c/Python27:$PATH.