In US Windows, the default locale, and filesystem encoding will be MBCS (Windows 1252) however, 2K/XP/Vista use Unicode internally for the filesystem, allowing for characters not available in the locale to be used.
Py2exe will not allow any exe files installed into these directories to be run giving an error "LoadLibrary(pythondll) failed. The specified file could not be found. C:\?????\python25.dll"
Where ????? was a directory name in Russian.
To reproduce: Create a py2exe .exe file, and place it in a directory containing characters not in your locale.
Potential Solution: Use windows wide functions when accessing the filesystem.
Associated problem, can't run python setup.py py2exe from within such a directory: error: could not create 'C:\?????': The filename, directory name, or volume label syntax is incorrect
Ran into this problem with people attempting to run software from their desktop, when logged in under a non-english username.