One of the major hindrances to using PyOpenGL before 3.0 was released (not python 3.0) was that packaging it with py2exe was next to impossible. Thankfully with the release of PyOpenGL 3.0 it is easy. Just include these two imports in one of your project files:
from ctypes import util
from OpenGL.platform import win32
That will tell py2exe which part of PyOpenGL to include. Otherwise you have to copy them over manually. Be sure to have the try and except around all win32 imports so your program remains cross platform.