I'm a Python programmer, but this is the first time I'm posting on python-dev, and I am not familiar at all with how the Python implementation works -- so this post may be way off.
I've recently released a Python application, PythonTurtle http://pythonturtle.com, which is packaged using py2exe and InnoSetup. Due to the fact that my program needs to give the user a full Python shell, I've made py2exe package the entire Python standard library with my application.
I really think you you just make you app sit on top of a standard Python installation. The current Windows installers work well. Just decide which versions you are willing to support. The usually reasons for bundling, to control the versions of multiple 3rd-party libraries, do not seen to apply.