I am currently making a game using pygame module.
I have followed the following links\' directions.
https://pythonprogramming.net/converting-pygame-executable-cx_freeze/
This was a bug in cx_Freeze which has now been corrected: https://github.com/anthony-tuininga/cx_Freeze/commit/9c98492911d4c75587d3687206d11812b48bf144