I get this error when I try to use one of the py2exe samples with py2exe.
File \"setup.py\", line 22, in ?
import py2exe
ImportError: no module named py2e
I had the exact same issue and I just managed to get it solved - so I thought I would share my solution.
It turned out that my installation of CollabNet SVN contained an old version of Python that interfered with my recent Python2.7 installation.
Replacing CollabNet SVN with VisualSVN (including a couple of reboots) did the trick. I know this is not a "pretty" solution, as it caused me to uninstall CollabNet SVN - a prettier solution might have been doing modifications to the PATH env. variable... However, I am now able to use py2exe :)