When trying to use py2exe to convert a simple Python game I made into exe format, it gave me the following error:
Traceback (most recent call last):
File \
I had exact the same problem.
Since I have windows 7 64bit, I downloaded py2exe-0.6.9.win64-py2.6.amd64.exe, which I suppose to be the 64bit version of py2exe. but it did not work, and I had the same error.
I changed to py2exe-0.6.9.win32-py2.6.exe, and it worked fine.
I guess you have to match the 32bit or 64bit with the python installation instead of the windows itself.
by the way, "setup.py py2exe" or "python setup.py py2exe" really does not matter, if you instructed windows to open *.py with python during the python installation.