Py2exe help for beginner

[PeterFI]

Howdy folks,

I´m taking my first steps in a world of python and I start from the
end:)

I have this little application written in python and I need to convert
it to Finnish. Modifications to the source code are ready and now I
need to compile it to exe. It is only one py file, Iterator.py.

my setup.py looks like this

from distutils.core import setup
import glob,os,sys
import py2exe


setup(name='MyIterator',
      version='0.2',
      author='P.P',
      py_modules=["Iterator"])

it runs nicely but no exe is created? What am I missing?