As long as you haven't created any C or C++ extensions yourself, creating an executable Windows installer is as simple as calling:
boudewijn@maldar:~/doc/pyqt/ch18/kalam > python setup.py bdist_wininst
You can do this on a Unix system, too. The resulting executable, kalam-1.0.win32.exe, is a self-extracting, self-installing zip archive (this means that you need to have the zip utility installed in order to be able to build the package, since zip is not part of Python). Of course, before creating this archive, you must edit setup.cfg to make sure your application ends up in a folder that conforms to the Windows way of life.