Preparing a Python Program for Distribution

[Alex McHale]

I posted this from deja.com, but it has never shown up.  If it magically
does show up; sorry for the repeats.

Hi there,
  I was wondering - is there any good way to distribute a Python
program for Unix or MS Windows (the latter being the primary focus for
the program of mine which has sparked this question), without requiring
them to already have installed Python?  IE - is there a way to
distribute the interpreter with the program, in such a way to not bloat
the distribution?
  Alex