A python-based project I'm working on has a win32 user that I need to support. Until yesterday I've been moving to a win32 laptop in order to run python setup.py bdist_wininst so I can produce a self-installing executable. Then I discovered how trivial it is to use wine to do the job:

1. Install wine. (sudo aptitude install wine)
2. Install python into the wine environment. (Download an msi from python.org and run msiexec /i python-x.x.x.msi.)
3. Install whatever prerequisite packages you need (e.g. wxPython) using wine or msiexec.
4. When you've got everything ready to build, just do wine c:/Python27/python.exe setup.py bdist_wininst and look in ./dist/ for your exe!