strange problem with Py2exe

[sf409777 at gmail.com]

Hello all,
in the past I've used Py2exe without any problem, but now I have this
strange difficulty.
In my computer I have  python 2.6,  py2exe for python 2.6 and the
distutils, but when I do:

from distutils.core import setup
import py2exe
setup(console=['hello.py'])

( like written in:   http://www.py2exe.org/index.cgi/Tutorial )

at the end (at the command 'setup') all exits from python and I am
again in DOS.
(The same occurs when I use a file: e.g.  python 1.py)

Where do I go wrong?

Thanks