1 - install cx_freeze.

2 - Open windows command shell, and navigate to your python install dir, then to scripts inside that dir.

3 - Type cxfreeze plus your path and script name, something like this:

cxfreeze d:\scripts\hello.py

4 - It will create a dir called dist with the files ready.

And you are done.

No need to do a setup script, or any modification to your script.