GordonMcMillansInstaller is dead, and its website is no longer up--for previous versions and continued development, see PyInstaller. The comments below presumably apply to PyInstaller as well...
You've probably heard of py2exe, it turns python programs into Windows executables. It's cool, but it does have a drawback: it doesn't make standalone executables.
Gordon Macmillan's Installer does make standalone executables. I've been writing some commandline tools for work, they weigh in at about 500kb.
The new version 5 is *much* easier to use than the previous versions... for me it was install, run two programs, and voila! An exe file.