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What you would have to do is create your own python interpreter with the source code hard coded and then compile that all into an executable yourself. (write the interpreter in C++ or something). Basically it's so much more work than just using C++ it's so unfeasible that I would never even attempt to do it.
I know this is an old post, but it is a topic others will likely continue to read, and this is flat out wrong.There are existing methods to do this for you, such as py2exe (http://www.py2exe.org/)