Trouble with IDLE in Windows

[Rob Renaud]

I am trying to port (ensure it works, hopefully produce a binary with
py2exe) a python program I wrote in Linux to Windows.  When I run the
python file that includes the main program from IDLE (Ctrl + F5),
python barfs saying it cannot import a file in the same directory as
the main source file.

How can I fix this?  Is it possibly related to not having an
__init__.py file?