py to exe

is there any way to create a single .exe file from my .py files?

Yea, you can use Freeze:

http://wiki.python.org/moin/Freeze

Freeze doesnt work for windows, im on win/XP

Google is your friend.

There’s a program called py2exe that should do the job.

not sure this is relevent to blender, could an EXE from a Py file be used in Blender?

Probably, with a little work. AFAIK all these py2exe things just collect the minimum required Python files into an archive, then make a batch/cmd/shell program to run them with a minimal Python interpreter. Bundle all that up in an installer and it looks and feels like an executable program!
If you then go out to the install directory and look for the file archive you can get the script and all its required modules.