Gordon McMillan installer and Python 2.4

[Svein Brekke]

> Seriously, if you're only interested in Windows, just use py2exe, or if
> you want Linux+Windows, try cx_Freeze.

According to the command line help for cx_Freeze and py2exe, they
cannot pack my program with additional installation files into one
self-extracting .exe file (which is what I want to do).

Am I wrong on this?

McMillan's installer lets me easily do this for python 2.3, but
crashes on python 2.4.

-Svein