I know you have been on my blog, I added a paragraph at the end about why py2exe does not include these dll's. You might want to try that, I have not done it so not sure if it works.
However, If its just distributing your pygame, you can package it into a windows installer file (which will only be one exe), and it will unpack and install it in program_files, and then end users can just click the icon on their desktop.
I would suggest using NSIS (nullsoft scriptable install system) for this. That is what my installer.nsi file is, a script to tell NSIS how to package my exe to a windows installer.
Alright, it's working now, thanks!
Might be nice to have all the files in one file; the dist/ directory contains many .dll s.