I created an executable .exe from a .py file using the latest version of cx_freeze for Python 2.7 with the following setup.py file:
import sys
from cx_Freeze import setup, Executable
setup(
name = "Any",
version = "1.0",
description = "Any",
executables = [Executable("D:\\script.pyw", base = "Win32GUI")])
I ran it from command line:
python setup.py build
Then I got the executable file in the build directory as expected. It ran perfectly.
Now, If I move the executable file into a different directory on the same computer. I get the following error dialog:

My guess is that I need to embed something into the executable file to make it work not only on my computer but on any other computer where Python is not installed by changing something in the setup.py file. What could be it missing?