If you “google”, first link you might come across (http://www.py2exe.org/) itself would guide you.
- Download & Install the right one for your python version (2.5, 2.6 etc) from http://sourceforge.net/projects/py2exe/files/
- follow http://logix4u.net/Python/Tutorials/How_to_create_Windows_executable_exe_from_Python_script.html(i don’t want to replicate/duplicate good info)