Thanks for the help guys! First of all, R0J0hound's method of using a subdirectory worked. I then threw a blank __init__.py into the folder and changed the script to tulamide's, and it failed. As far as including the files with the exe, I haven't gotten that to work at all.
The files to be included are:
The pygame. prefix was added by cxfreeze when I used it to figure out which files I needed.
Also, the error I get when it can't find the files is: