The USE of py2exe doesn't require that you release the source code you're compiling.
If you CHANGE py2exe itself, then you MAY need to release your code under the GPL.
But if you're only using it to compile your own non-gpl code, you don't have to release your own code.
License
The py2exe project itself is MIT licensed. It may be more complicated than that if it also uses GPL components, but as far as releasing your own code with the py2exe compiled files you should not have an issue.
Detail
Your code is compiled to python byte code. It is NOT linked in any way shape or form with the DLLs and other files incident to a py2exe compiling.
The python...dll is the actual interpretor and IS linked to the other files.
YOUR code does NOT have to be under GPL - it's just interpreted, it's never linked to any other code.
When you distribute these files you MUST include the license info and point out the source code for all the incidental files that have GPL licenses, but you do NOT need to release your own code. Given that the project is under MIT license you may not need to do much depending on which files your project requires.
As always, check with a lawyer -
Your byte code is inserted as a resource into the EXE file that starts the interpreter and feeds it your bytecode. Given that this portion is definitely MIT license you should be fine.
However, the waters are murky if py2exe is using any GPL code. Still, unlikely to cause problems.
Note
Be aware that py2exe is a method that allows you to release python code to a windows environment without installing a python interpretor.
It is not a protection against copying, or viewing the source code - your compiled bytecode can be pulled from the EXE and presumably decompiled - your code is never converted to machine code - it's still an interpreted language.