Daniel is quite right. The psychopy docs also discuss doing it in py2exe (similar to cx_freeze):
http://www.psychopy.org/recipes/appFromScript.html
And this has been discussed before several times before e.g.:
https://groups.google.com/forum/#!searchin/psychopy-users/py2exe|sort:relevance
But briefly: It’s possible, it’s generally painful, it isn’t supported by us. In the future there will be an option to run your studies from a browser but compiling your experiment into a single exe file isn’t something I plan to spend time on supporting.