I am planning to use py2exe to make an application developped with Python 2.6.
It seems that my app need the VC redistribuables : http://www.py2exe.org/index.cgi/Tut
I think you should be fine if you simply include the installation of vcredist_x86.exe into your installation procedure (according to the document you linked to):
Either you can instruct your users to download and run this themselves, or you could create an installer for your application (see Step 6 below), that includes vcredist_x86.exe (which is itself redistributable by anyone), and then run that as part of your application installation
Mind you that I'm not a lawyer and thus this is not legal advice.