While I was browsing the wxPython wiki I came across a short little tutorial on distributing your wxPython application on Windows. Since it uses py2exe and because I've seen a bunch of questions asked about py2exe I thought I'd post a link to it here: Packaging your Application for Windows Users
I tried it out with my small wxHello from my wxPython tutorial and it seemed to work quite well.
That is very interesting, I hadn't heard of PyInstaller before, it looks very interesting, especially since they are working on a Mac version as well. Thanks for the link I will definitely take a closer look at it when I look into writing a tutorial on distributing your python application.