Dependency tracking is usually not perfect in exe generators. I don't recall how good py2exe is at this. If you understand which of those files will not be used by your program, you can safely delete them. A bit of trial and error here if you are not sure. Unless you are using floppies or dialup to transfer this tool, you should simply not worry about the file size.
As for compression, just use an installer builder like Inno Setup http://www.jrsoftware.org/isinfo.php http://www.istool.org/default.aspx/ -- http://mail.python.org/mailman/listinfo/python-list
