Creating Python "executables" on Windows?

[Hrvoje Niksic]

I'm now working in Python on Windows a little bit.  So far I'm very
satisfied.  I have had no problems with core Python, and IDLE seems to
work very nicely too.

I have one problem, though: on Unix systems, it's very easy to create
a script that you can run as an executable by placing "#!/usr/bin/python"
(or the /usr/bin/env variant).  I wonder how to do the same on Windows?
Is it even possible?  I suppose I could create a .BAT file that invokes
the real scripts, but then I need two files per each script -- I'd hope
for a better solution than that.

It's certainly quite annoying to have to type "python executabl args"
every time.  Having to mention Python on the command-line at every script
invocation places Python scripts at a disadvantage compared to C programs
where that needs not be done.