You gotta evaluate the particularities of each alternative, to see which suites your needs better, or even at all.
ps: There might also be a thing called "freeze" that comes with Python, that does something like this; but I don't got the time to research right now if it is still being included in more recent versions of Python
I haven't tested any of these; but I found them being suggested on a few pages:
http://www.py2exe.org/
http://www.pyinstaller.org/
http://nuitka.net/
http://cx-freeze.sourceforge.net/
You gotta evaluate the particularities of each alternative, to see which suites your needs better, or even at all.
ps: There might also be a thing called "freeze" that comes with Python, that does something like this; but I don't got the time to research right now if it is still being included in more recent versions of Python