executable on cross platform

[www.ciquery.com]

I am researching to manage the development of a desktop app that connects to
the web and pulls some data into the app. Essentially, i would like to write
it once , for example in Python, and then compile according to the OS.For
example, Windows 2000,MacOSX,Windows CE etc.It would then be a desktop
executable.
The program is straightforward , I need information about the executable
side of things.
The install would allow a small opportunity to install files on to the users
machine, therefore certain libraries could be installed, but they would have
to be small.
has anyone had any experience? and could you point me in the right
diretion - beyond just www.python.org . A tutorial would be useful