The Makespec.py application of the McMillan Installer
version 5 has the --onefile option that builds true one-EXE
distributions. As the author describes here
http://www.mcmillan-inc.com/standalones.html , the
standalone executables have the downside of being
sometimes executed in two passes, but still, I think this is a
great feature of Installer. Please please add a similar
feature to py2exe!