setting icon using py2exe?

[simo]

I think you have to have win32all/pywin32 installed to do
resource/icon handling.

This works fine for me on Windows 98SE/XP/2000:

setup(
    windows = [
        {
            "script": "hellow.py",
            "icon_resources": [(1, "hellow.ico")]
        }
    ],
)

If you can't get this to work, you could just include the .ico file
using data_files=["hellow.ico"], and then create the shortcuts,
pointing to the icon, using your install program, e.g. InnoSetup
(kinda like I do under Linux).