Since your comment confirmed what I expected, I'll follow up with an answer post.
You invoked python from the directory you were in when you called the executable. In this case, according to your prompt, you invoked it from C:\Users\Me
. Therefore, python is trying to find setup.py
under this directory (which doesn't exist). You can either:
1) Change directories to the location of the setup.py
file, then invoke python. The full path to the python executable will be necessary if it's not in your PATH or if it's in a different directory, otherwise it is not:
C:\Users\Me> cd C:\Python26\My_Scripts
C:\Python26\My_Scripts> C:\Python26\My_Scripts\python.exe setup.py py2exe
2) Point python to the absolute path of setup.py
:
C:\Users\Me> C:\Python26\My_Scripts\python.exe "C:\Python26\My_Scripts\setup.py" py2exe