cxFreeze is not an executable, but a package called cx_Freeze you need to import to your setup code ...
Using cx_freeze with Python32 to package a console
program to an executable file (.exe in Windows OS).
Might want to put a console-wait-line in at the end of your program.
Put this setup program and your console program file into the same
directory. Change the filename in this setup program and also edit
name, version and description in setup() if you so desire.
A directory 'build' is created with a subdirectory 'exe.win32-3.1'
containing all the files needed for distribution including the
.exe file named after the console program file.
The total distribution has a size of about 4.2 Mb.
this includes the Python32.dll interpreter
and some small pyds and a zip file
cx_Freeze can also be installed and used with Unix systems.
from cx_Freeze import setup, Executable
sys.argv.append("build") # replaces commandline arg 'build'
# change the filename to your program file
filename = "HelloWorld.py"
name = "Hello World",
version = "1.0",
description = "console cx_Freeze script",
executables = [Executable(filename)])