cx_Freeze is a set of scripts and modules for freezing Python scripts into executables in much the same way that py2exe and py2app do. Unlike these two tools, cx_Freeze is cross platform and should work on any platform that Python itself works on.
After freezen you can make a single exe installer using e.g.NSIS.
@adobe71 There's a lot of freezing scripts to use, but the one which works with Python 3 at the moment is cx_Freeze, It creates some files beyond the exe, though. You can check bbfreeze, PyInstaller, py2app (on Mac) and some others I just can't remember right now. But I do recommend you to use cx_Freeze.