Hello John,
I think that file comes with the tutorial although I cannot seem to be able to find it there.
Anyway what data_files does is include files in your application.
In my case for example I include some other binaries that are needed for my application to run thus my line looks like this:
data_files = [('', ['PsExec.exe'])],
data_files is a tuple where 1 is the location of the files in your result package, for me that is the root directory: ''
and 2 is a list of data files to include.
Cheers,
-Tim