In upgrading from 0.6.3 to 0.6.4 I encountered the following:

Pyexe 0.6.4 with Python 2.4 does not find these modules:
['win32com.shell.shell', 'win32com.shell.shellcon', 'xml.xpath']

The exe refuses to load; the log file contains:
Traceback (most recent call last):
  File "tksurface.py", line 6, in ?
  File "phx.pyc", line 2, in ?
  File "xml\dom\__init__.pyc", line 220, in ?
ImportError: cannot import name DOMImplementation

With respect to win32com.shell, my setup24.py contains the recommended trick described at http://starship.python.net/crew/theller/moin.cgi/Py2Exe

I'm also using pywin32 205 and PyXML 0.8.4.

Finally, this more-or-less worked correctly in py2exe 0.6.3: the exe ran although some modules could not be found:
['DateTime', 'Ft.Lib', 'Ft.Lib.DumpBgTuple', 'Ft.__init__', 'XPathParserc', 'ext.IsDOMString', 'ext.SplitQName', 'xml.xslt', 'xml.xslt.ParsedPattern']