>>Don't but the data into library.zip, put it in an appropriate folder
I didn't have a choice in this. Py2exe put my data file in the zip.
There are no folders after making an exe. Everything is in the zip file.

After posting my original message, I came across a project which truly does make a single-file executable, with no zip files.

setup.py py2exe -b 1
setup(console=['myfile.py'],zipfile=None)

This is what makes a single-file executable.
But I could not find any information anywhere how to do this