How to create a single executable console application?

[Podi]

I followed the instructions from
http://starship.python.net/crew/theller/moin.cgi/SingleFileExecutable

Copied the second setup.nsi, setup.py, single.py and everything works
like a
champ.

I then replaced "single.exe" by "hello.exe" in setup.nsi. Created
hello.py as
follows:

#! python
def main():
    print 'Hello world'

if __name__ == '__main__':
    main()
#End of file

And changed setup.py as follows:

#! python
from distutils.core import setup
import py2exe
sys.argv.append('py2exe')

setup( console=["hello.py"] )
# End of file

After running python setup.py, dist\hello.exe was created and it runs
fine
("Hello world" printed on the console).

Compiled setup.nsi, and hello.exe was created in current directory.
However,
when executed, nothing was printed.

I might just missed something obvious. Can anyone help me?

Has anyone built a single executable for console application? Please
post your .nsi file.

Thanks very much,
P