I wasn't able to find the link describing how to solve this.
When I try to compile my program with py2exe using python v2.6

at the end of the process I get a message saying
The following modules appear to be missing

my setup script is just :

from distutils.core import setup
import py2exe


Any help would be appreciated.

Try this,and use a simple script first where you not importing a lot of modules.
So you are sure that py2exe work

If you search this forum there are many post about how to use py2exe and cxfreeze.
You can also look into gui2exe that work fine.

from distutils.core import setup
import py2exe
import sys

if len(sys.argv) == 1:

setup( options = {"py2exe": {"compressed": 1, "optimize": 2, "ascii": 1, "bundle_files": 3}},
       zipfile = None,

       ##data_files = ['apple.jpg', 'cheese.jpg'],

       #Can use windows or console,replace my_file.py with py file you want to make exe off.
       #If not run in same folder give path /mydir/my_file.py
       windows = [{"script": 'my_file.py'}])