Usage

Just put upx.exe and upx.py into your main folder and change your build.py file a little bit:

import sys

from distutils.core import setup
from upx import UPXPy2exe

sys.argv.append('py2exe')

setup(
    cmdclass = {'py2exe': UPXPy2exe},
    options = {
        'py2exe': {
            'verbose': True,
            'bundle_files': 1,   # Makes a single EXE file
            'compressed': True,
            'upx': True,
            'upx_options': '--best --lzma',
            'upx_excludes': [],  # Excludes libraries from being compressed with UPX
            'dll_excludes': ['MSVCP90.dll', 'HID.DLL', 'w9xpopen.exe']
        }
    },
    windows = [{'script': 'main.py'}],  # The name of your main script file
    zipfile = None
)