Unfortunately I don't know much about InnoSetup so I'm a bit confused at this point.
Originally you posted this error, which looks to me like an invalid path
 
>>That does indeed fix the problem but introduces another problem.
>>In my script i have a piece of code that generates an Innosetup script
>>(found on site of py2exe i think via wiki) and that fails:
>>
>>Source: "\bdist.win32\winexe\bundle-2.4\python24.dll"; DestDir:
>>"{app}\\bdist.win32\winexe\bundle-2.4"; Flags: ignoreversion
 
and  assumed it was because you were stripping off part of those paths in your InnoSetup script
 
>>class InnoScript:
>>    def __init__(self,
>>                 name,
>>                 lib_dir,
>>                 dist_dir,
>>                 windows_exe_files = [],
>>                 lib_files = [],
>>                 version = version):
>>        self.lib_dir = lib_dir
>>        self.dist_dir = dist_dir
>>        if not self.dist_dir[-1] in "\\/":
>>           self.dist_dir += "\\"
>>       self.name = name
>>        self.version = version
>>        self.windows_exe_files = [self.chop(p) for p in windows_exe_files]
>>        self.lib_files = [self.chop(p) for p in lib_files]
>>
>>    def chop(self, pathname):
>>        print " pathname %s " % pathname
>>        print " self.dist_dir %s " % self.dist_dir
>>        #assert pathname.startswith(self.dist_dir)
>>        return pathname[len( self.dist_dir):]

However that incorrect portion of the path you metioned above doesn't even exist in the values of 'windows_exe_file' and 'lib_files' that you provided.  My guess is that the values for those two variables are different when bundled versus not bundled.  I'm assuming that the InnoSetup script was based on the 'not bundled' setup but, at this point I'm really not sure what is going on. Maybe someone else has an idea?

>>This is what i get for windows_exe_files and lib_files
>> -------------- exe files --------------
>>['P:\\Code\\python\\statmat\\src\\dist\\start.exe']
>>-------------- lib files --------------
>>P:\Code\python\statmat\src\dist\_socket.pyd
>>P:\Code\python\statmat\src\dist\_ssl.pyd
>>P:\Code\python\statmat\src\dist\bz2.pyd
>>P:\Code\python\statmat\src\dist\pyexpat.pyd
>>P:\Code\python\statmat\src\dist\select.pyd
>>P:\Code\python\statmat\src\dist\unicodedata.pyd
>>P:\Code\python\statmat\src\dist\zlib.pyd
>>P:\Code\python\statmat\src\dist\_dotblas.pyd
>>P:\Code\python\statmat\src\dist\_numpy.pyd
>>P:\Code\python\statmat\src\dist\multiarray.pyd
>>P:\Code\python\statmat\src\dist\umath.pyd
>>P:\Code\python\statmat\src\dist\win32ui.pyd
>>P:\Code\python\statmat\src\dist\win32uiole.pyd
>>P:\Code\python\statmat\src\dist\_kinterbasdb.pyd
>>P:\Code\python\statmat\src\dist\_kiservices.pyd
>>P:\Code\python\statmat\src\dist\mxDateTime.pyd
>>P:\Code\python\statmat\src\dist\win32api.pyd
>>P:\Code\python\statmat\src\dist\win32evtlog.pyd
>>P:\Code\python\statmat\src\dist\_activex.pyd
>>P:\Code\python\statmat\src\dist\_animate.pyd
>>P:\Code\python\statmat\src\dist\_calendar.pyd
>>P:\Code\python\statmat\src\dist\_controls_.pyd
>>P:\Code\python\statmat\src\dist\_core_.pyd
>>P:\Code\python\statmat\src\dist\_gdi_.pyd
>>P:\Code\python\statmat\src\dist\_gizmos.pyd
>>P:\Code\python\statmat\src\dist\_glcanvas.pyd
>>P:\Code\python\statmat\src\dist\_grid.pyd
>>P:\Code\python\statmat\src\dist\_html.pyd
>>P:\Code\python\statmat\src\dist\_media.pyd
>>P:\Code\python\statmat\src\dist\_misc_.pyd
>>P:\Code\python\statmat\src\dist\_stc.pyd
>>P:\Code\python\statmat\src\dist\_webkit.pyd
>>P:\Code\python\statmat\src\dist\_windows_.pyd
>>P:\Code\python\statmat\src\dist\_wizard.pyd
>>P:\Code\python\statmat\src\dist\_xrc.pyd
>>P:\Code\python\statmat\src\dist\wxmsw26h_animate_vc.dll
>>P:\Code\python\statmat\src\dist\wxmsw26h_gizmos_vc.dll
>>P:\Code\python\statmat\src\dist\wxmsw26h_gizmos_xrc_vc.dll
>>P:\Code\python\statmat\src\dist\wxmsw26h_gl_vc.dll
>>P:\Code\python\statmat\src\dist\wxmsw26h_stc_vc.dll
>>P:\Code\python\statmat\src\dist\wxmsw26h_vc.dll
>>P:\Code\python\statmat\src\dist\msvcr71.dll
>>P:\Code\python\statmat\src\dist\w9xpopen.exe
>>P:\Code\python\statmat\src\dist\fbclient.dll
>>P:\Code\python\statmat\src\dist\python24.dll
>>P:\Code\python\statmat\src\dist\MSVCR71.dll
>>P:\Code\python\statmat\src\dist\pywintypes24.dll
>>P:\Code\python\statmat\src\dist\pythoncom24.dll
>>P:\Code\python\statmat\src\dist\shared.lib
>>P:\Code\python\statmat\src\dist\bin\database.cnt
>>P:\Code\python\statmat\src\dist\bin\DialogKind
>>P:\Code\python\statmat\src\dist\bin\DialogMoeder
>>P:\Code\python\statmat\src\dist\msvcr71.dll
>>P:\Code\python\statmat\src\dist\logconf.ini
>>P:\Code\python\statmat\src\dist\license.txt
>>P:\Code\python\statmat\src\dist\gui\toolbar\cancel_changes_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\cancel_changes_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\delete_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\delete_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\edit_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\edit_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\first_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\first_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\last_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\last_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\new_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\new_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\next_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\next_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\previous_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\previous_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\refresh_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\refresh_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\save_record.png
>>P:\Code\python\statmat\src\dist\gui\toolbar\save_record_disabled.png
>>P:\Code\python\statmat\src\dist\gui\gui.xrc
>>P:\Code\python\statmat\src\dist\gui\icon\small.ico
>>
>>Regards,
>>Benedict