I need to package my Python application, its dependencies and Python into a single MSI installer. The end result should desirably be:
I use PyInstaller (the svn version) to create a stand-alone version of my program that includes Python and all the dependencies. It takes a little fiddling to get it to work right and include everything (as does py2exe and other similar programs, see this question), but then it works very well.
You then need to create an installer. NSIS Works great for that and is free, but it creates .exe files not .msi. If .msi is not necessary, I highly recommend it. Otherwise check out the answers to this question for other options.