Well, the python mailing list was some help.
Turns out there is an tools/msi directory and in there is python code to help build the MSI from the tree you built. Only problem is you can't use it without having python and PythonWin installed. So I grabbed 2.6.4 python and pythonwin and installed them.
It uses COM objects and the CabSDK from MS to build the MSI file. And then it has a couple of "Issues" that I had to resolve. First you need a VS2008 shell so you can
nmake -f msisupport.mak
then you need to grab a copy of TIX (I didn't have to build it, just have it in place fore the license.terms file (probably could have just removed that list member for the same effect, but I was worried about something else being needed down below)
("Tcl", "tcl8*", "license.terms"),
("Tk", "tk8*", "license.terms"),
("Tix", "Tix-*", "license.terms")):
had to be changed to:
("Tcl", "tcl-8*", "license.terms"),
("Tk", "tk-8*", "license.terms"),
("Tix", "Tix*", "license.terms")):
because the package names have evidently changed in the not to distant past?
After that, I ran c:\python26\python msi.py
and then it griped about the python264.chm being missing, so instead of trying to build it, I grabbed the one from the copy of python I had to install in order to build python and dumped it in the expected location.
Oh yea, I also had to go to the PC directory and
nmake -f icons.mak
This gave me a runnable msi file to install python (which was already installed, so that I could build the msi file to install my own version). Oh well, at least it is built now. Whew!