So, assuming that you HAVE already written your script in python and are wishing to convert it to a more user-friendly distribution style you have a couple of options.
You can use py2exe, as mentioned earlier. It is a very popular program and there are several very good tutorials out there. As mentioned by rproffitt you do miss out on python security updates by compiling it, but you may want to convert it using py2exe if you don't want whoever you are distributing it to to not have to deal with files.
Another option is to have your end-user download the files and python, which is usually accomplished through zip files (file compression).
If you are distributing on Windows then Inno Setup is a popular free choice to customize installation (although certainly not the only one). This can make a better first impression with your end user, which can be the difference in them completing installation and actually using your program, and them stopping part-way through and never experiencing it at all.
All of this is very assumed knowledge about your situation as you were not clear on if you have already written the script yet, what platform you are on, what technical knowledge your users have / what impression you want to make.
Hopefully this has still been helpful, but more information will always provide better responses here at DaniWeb.