Creating single .exe file without py2exe and pyinstaller

[Abah Joseph]

I have written a small application of about 40-45 lines which is about 4KB,
so I want to create a single .exe file from it, using py2exe it created
unnecessary files, that just increase the size of the program and also less
portable to me. What else can I use?
I am on windows XP.
Python 2.5
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