How to create a single executable of a Python program

[NicolasG]

Dear fellows,

I'm trying to create a executable file using py2exe . Unfortunately
along with the python executable file it also creates some other files
that are needed in order to the executable be able to run in a system
that doesn't have Python installed. Can some one guide me on how can I
merge all this files created by py2exe in a single exe file ? If I
have a python program that uses an image file I don't want this image
file to be exposed in the folder but only to be accessible through the
program flow..

Regards,
Nicolas.