I haven't spent any time recently with it, but I seem to recall having more success using cx_Freeze for packaging than with py2exe (when using Python.NET). In the time since I then, I suspect all of the packagers have gotten more sophisticated, and you might have more options.
A good place for questions like these is the Python.NET list: http://mail.python.org/mailman/listinfo/pythondotnet -- http://mail.python.org/mailman/listinfo/python-list
