I include ico files directly in module and invoke a routine that write ico
in a temp file, load it and remove it after... (see the attached file...)
Py2exe can embed zipfile into the exe file so :
create an exe file with an embeded zip containing ALL (librairy.zip, *.pyd,
*.dll (may be tcl dir too...)), and a routine writing zlib.pyd, loading it
and then extract the embeded zip in a temp dir...
maybe it's impossible, it's just an idea