Mine

#Make a file called site.py with this:
import sys, os
sys.path.insert(
0,
os.path.join(
os.path.dirname( sys.executable ),
'PyOpenGL-3.0.0a6-py2.5.egg'
)
)

#Add 'import site' to your Main .py

#Use this setup.py:
from distutils.core import setup
import py2exe

setup(console=['Main.py'])

print '','Remeber to copy the PyOpenGL.egg file to the dist directory!'