"Deprecated sets module" with Python 2.6

[Virgil Stokes]

I would appreciate help on correcting a problem when trying to create an 
*.exe file using py2exe via GUI2exe with Python 2.6.2.

When using GUI2exe to create an *.exe I always get the following warning 
during the compile process:

 C:\Python26\lib\site-packages\py2exe\build_exe.py:16:
 DeprecationWarning: the sets module is deprecated
 import sets

and this results in the creation of an *.exe file that can not be executed.

On the other hand, if I use the same procedure (on the same Python code) 
with
Python 2.5, there are no warnings and the *.exe works fine.

The procedure used is that given in the example "Less simpler one" at
 
  http://code.google.com/p/gui2exe/wiki/GUI2ExeExamplesin

Any suggestions, help, ... would be greatly appreciated.

Thanks,
--V.