From what I understand, it is possible to statically link python into an executable, but then you lose your ability to load other dynamic modules (.pyd files) like os and zlib and math. Unless you are able to statically compile those as well into your main program.
And as far as I know, the only compiler that can do this is the C compiler that is compiling python from source. :)
I'm not sure its worth the effort at all.
Better just use p2exe and create a directory of files that can be zipped and shipped.