http://www.py2exe.org/index.cgi/Tutorial#Step5
上说：
Build an installer if applicable
py2exe is not an installer builder - it merely assembles the files
needed to run your Python program. There are plenty of good installer
builders out there including some that are open source (e.g., NSIS)
and some that are free (e.g., Inno Setup).

看来应该用NSIS啊。

Linux上的安装会比Windows复杂么？在Windows下安装要修改注册表什么的。