Err...okay i figured it out. Somehow. This is how i did it.
So, i had installed ActivePython which set up my file dependancies properly (which the normal distro of python did NOT do, much to my frustration) and it gave me PythonWin, a GUI Python editor.
I made hello.py and setup.py for py2exe as per stated in the tutorial, then i made setup.py into setup.pyc by opening setup.py in PythonWin and clicking "import" which gave this output in PythonWin:
[quote:2fsxuk02]File "C:\Python26\Lib\site-packages\pythonwin\pywin\framework\scriptutils.py", line 427, in ImportFile
exec codeObj in __main__.__dict__
File "<auto import>", line 1, in <module>
File "C:\Pythonery\setup.py", line 4, in <module>
File "C:\Python26\lib\distutils\core.py", line 140, in setup
raise SystemExit, gen_usage(dist.script_name) + "\nerror: %s" % msg
SystemExit: usage: [global_opts] cmd1 [cmd1_opts] [cmd2 [cmd2_opts] ...]
or: --help [cmd1 cmd2 ...]
or: cmd --help
error: no commands supplied
Then, i could use the command "setup.pyc py2exe" (instead of "setup.py py2exe" like it says in the tutorial) and it compiles properly!
I'm completely new at Python and i kinda feel like i stumbled on this solution, so if someone can explain why it worked, i will be happy.