I am currently working with python 2.3, pygame 1.6, and
py2exe 0.5.3. I am "compiling" everything on windows 2000
for windows 2000 systems.
Everything runs fine using just python 2.3. The problems
occur when the source is "compiled" using py2exe.
This is a problem with 1.5.2 failing when it can't find icons it is
looking for. It used to fail gracefully, but it's on my list. Copy all
the .ico, .tif, .bmp and other types of images from your
site-packages/pygame directory into the directory with your compiled game.