I've discovered that py2exe works just fine if I comment out the part of my program that uses wxPython. Also, when I use py2exe on the 'simple' sample that comes with its download (i.e. in Python26\Lib\site-packages\py2exe\samples\simple), I get this error message:
*** finding dlls needed *** error: MSVCP90.dll: No such file or directory So something about wxPython makes py2exe think I need a Visual Studio 2008 DLL. I don't have VS2008, and yet my program works perfectly well as a directory of Python modules. I found a copy of MSVCP90.DLL on the web, installed it in Python26/DLLs, and py2exe now works fine.
I still don't understand where this dependency has come from, since I can run my code perfectly okay without py2exe. It's also annoying that py2exe didn't give me an error message like it did with the test_wx.py sample.
Further update: When I tried to run the output from py2exe on another PC, I discovered that it needed to have MSVCR90.DLL installed; so if your target PC hasn't got Visual C++ 2008 already installed, I recommend you download and install the Microsoft Visual C++ 2008 Redistributable PackageMicrosoft Visual C++ 2008 Redistributable Package.